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  • Search: subject:"Emerging sector"
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Year of publication
Subject
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Emerging sector indices 2 hedge ratios 2 oil prices 2 optimal weights 2 volatility transmission 2 ARCH model 1 ARCH-Modell 1 Aktienindex 1 Hedging 1 Oil price 1 Portfolio selection 1 Portfolio-Management 1 Stock index 1 Volatility 1 Volatilität 1 Ölpreis 1
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Online availability
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Free 2
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Demiralay, Sercan 2 Gencer, Hatice Gaye 2
Published in...
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International Journal of Energy Economics and Policy 1 International Journal of Energy Economics and Policy : IJEEP 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies
Demiralay, Sercan; Gencer, Hatice Gaye - In: International Journal of Energy Economics and Policy 4 (2014) 3, pp. 442-447
This paper investigates the mechanisms of return and volatility transmissions between oil prices and five emerging market sector returns. For the empirical method, we utilize a recent and novel technique: Vector Autoregressive-Asymmetric GARCH (VAR-AGARCH) model. We find some significant cross...
Persistent link: https://www.econbiz.de/10010801088
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Cover Image
Volatility transmissions between oil prices and emerging market sectors : implications for portfolio management and hedging strategies
Demiralay, Sercan; Gencer, Hatice Gaye - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 3, pp. 442-447
Persistent link: https://www.econbiz.de/10011286184
Saved in:
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