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  • Search: subject:"Optimal Portfolio Weight"
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Year of publication
Subject
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Optimal Portfolio Weight 3 Mean Absolute Error 2 Optimal Hedge Ratio 2 Out of Sample Forecast 2 Crude Oil Futures Volatility 1 DCC-FIGARCH 1 Dcc-Figarch 1 Effects of Investors and Hedgers 1 Forecasting model 1 GARCH 1 Hedge Ratio 1 Hedging 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Theorie 1 Theory 1 Time-Series 1
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Online availability
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Free 3 CC license 1
Type of publication
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Article 3
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 3
Author
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Milunovich, George 1 Ripple, Ronald 1 Yilmaz, Tunahan 1 Yılmaz, Tunahan 1
Published in...
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Economics Bulletin 1 International Econometric Review (IER) 1 International econometric review 1
Source
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ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
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Optimal dynamic hedging in selected markets
Yılmaz, Tunahan - In: International Econometric Review (IER) 13 (2021) 4, pp. 89-117
methods: Optimal hedge ratio and optimal portfolio weight. These methods are two hedging portfolio implications. Lastly, we …
Persistent link: https://www.econbiz.de/10014518990
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Cover Image
Optimal dynamic hedging in selected markets
Yilmaz, Tunahan - In: International econometric review 13 (2021) 4, pp. 89-117
methods: Optimal hedge ratio and optimal portfolio weight. These methods are two hedging portfolio implications. Lastly, we …
Persistent link: https://www.econbiz.de/10013382400
Saved in:
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Crude Oil Volatility: Hedgers or Investors
Milunovich, George; Ripple, Ronald - In: Economics Bulletin 30 (2010) 4, pp. 2877-2883
We evaluate differential effects of the trading activity of two classes of traders: hedgers and general investors, on the volatility of the NYMEX crude oil futures returns. It appears that the rebalancing activity of oil hedgers has a significant and positive effect on the oil futures...
Persistent link: https://www.econbiz.de/10008693068
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