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~person:"Madaleno, Mara"
~subject:"Rohstoffderivat"
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Rohstoffderivat
Discrete and Continuous Wavelets Coherence and Phase
2
Dynamic and Static Hedging
2
Electricity Futures and Spot Prices
2
Multivariate GARCH
2
Optimal Hedge Ratio
2
ARCH model
1
ARCH-Modell
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Commodity derivative
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Commodity exchange
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Derivat
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Derivative
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Deutschland
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Dynamic and static hedging
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Electric power industry
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Electricity price
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Elektrizitätswirtschaft
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Estimation
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Germany
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Hedging
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Schätzung
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Spot market
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Spotmarkt
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Strompreis
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Volatility
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Volatilität
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discrete and continuous wavelets coherence and phase
1
electricity futures and spot prices
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multivariate GARCH
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optimal hedge ratio
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Madaleno, Mara
Manera, Matteo
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Nicolini, Marcella
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Tanattrin Bunnag
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
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Hedging performance and multiscale relationships in the German electricity spot and futures markets
Madaleno, Mara
;
Pinho, Carlos
- In:
Journal of risk and financial management : JRFM
3
(
2010
)
1
,
pp. 26-62
futures. Simpler approaches are also used for comparison purposes like the naïve, OLS and the dynamic
multivariate
GARCH
model …
Persistent link: https://www.econbiz.de/10011555959
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