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~person:"Kerstan, Friedhelm"
~person:"Lien, Da-hsiang Donald"
~subject:"ARCH-Modell"
~subject:"Portfolio-Management"
~subject:"Spanien"
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Search: Erdölpreis OR Nahrungsmittelpreise OR Rohstoff OR Rohstoffpreis
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ARCH-Modell
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Hedging
88
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58
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Derivat
40
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40
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22
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Kerstan, Friedhelm
Lien, Da-hsiang Donald
McAleer, Michael
49
Ma, Feng
37
Chang, Chia-Lin
34
Hammoudeh, Shawkat
32
Bouri, Elie
24
Kang, Sang Hoon
22
Nguyen, Duc Khuong
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Mensi, Walid
20
Platen, Eckhard
18
Giglio, Stefano
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Gupta, Rangan
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Miffre, Joëlle
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Wang, Yudong
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Kelly, Bryan T.
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Wei, Yu
14
Chevallier, Julien
13
Ji, Qiang
13
Manera, Matteo
13
Serletis, Apostolos
13
Yoon, Seong-min
13
Zhang, Yaojie
13
Filis, George
12
Guesmi, Khaled
12
Lo, Andrew W.
12
Tiwari, Aviral Kumar
12
Agarwal, Vikas
11
Engle, Robert F.
11
Koutsokostas, Drosos
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Melʹnikov, Aleksandr V.
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Papathanasiou, Spyros
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Salisu, Afees A.
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11
Alexander, Carol
10
Ang, Andrew
10
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10
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10
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Glückauf : die Fachzeitschrift für Rohstoff, Bergbau und Energie
6
The journal of futures markets
6
International review of economics & finance : IREF
2
Applied financial economics
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Finance research letters
1
Journal of banking & finance
1
Journal of mathematical finance
1
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ECONIS (ZBW)
21
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1
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21
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1
Optimal quantile hedging under Markov regime switching
Lien, Da-hsiang Donald
;
Wang, Ziling
;
Yu, Xiaojian
- In:
Empirical economics : a quarterly journal of the …
60
(
2021
)
5
,
pp. 2177-2201
Persistent link: https://www.econbiz.de/10012585550
Saved in:
2
Quantile hedge ratio for forward freight market
Gu, Yimiao
;
Chen, Zhenxi
;
Lien, Da-hsiang Donald
;
Luo, …
- In:
Transportation research / E : an international journal
138
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012294938
Saved in:
3
Production and hedging with optimism and pessimism under ambiguity
Lien, Da-hsiang Donald
;
Yu, Chia-Feng
- In:
International review of economics & finance : IREF
50
(
2017
),
pp. 122-135
Persistent link: https://www.econbiz.de/10011754116
Saved in:
4
A bivariate high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng
;
Lien, Da-hsiang Donald
- In:
The journal of futures markets
37
(
2017
)
9
,
pp. 913-929
Persistent link: https://www.econbiz.de/10011950909
Saved in:
5
Good approximation of exponential utility function for optimal futures hedging
Guo, Xu
;
Lien, Da-hsiang Donald
;
Wong, Wing Keung
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 457-463
Persistent link: https://www.econbiz.de/10011583581
Saved in:
6
A note on minimum riskiness hedge ratio
Ehsani, Sina
;
Lien, Da-hsiang Donald
- In:
Finance research letters
15
(
2015
),
pp. 11-17
Persistent link: https://www.econbiz.de/10011552910
Saved in:
7
Asymmetric effect of basis on dynamic futures hedging : empirical evidence from commodity markets
Lien, Da-hsiang Donald
;
Li, Yang
- In:
Journal of banking & finance
32
(
2008
)
2
,
pp. 187-198
Persistent link: https://www.econbiz.de/10003647092
Saved in:
8
A note on the performance of regime switching hedge strategy
Lien, Da-hsiang Donald
- In:
The journal of futures markets
32
(
2012
)
4
,
pp. 389-396
Persistent link: https://www.econbiz.de/10010218779
Saved in:
9
The effects of structural breaks and long memory on currency hedging
Lien, Da-hsiang Donald
;
Li, Yang
- In:
The journal of futures markets
30
(
2010
)
7
,
pp. 607-632
Persistent link: https://www.econbiz.de/10003985029
Saved in:
10
A note on the hedging effectiveness of GARCH models
Lien, Da-hsiang Donald
- In:
International review of economics & finance : IREF
18
(
2009
)
1
,
pp. 110-112
Persistent link: https://www.econbiz.de/10003793400
Saved in:
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