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  • Search: subject:"Optimal hedge ratio"
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Year of publication
Subject
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optimal hedge ratio 16 Hedging 11 Optimal Hedge Ratio 10 Multivariate GARCH 7 Optimal hedge ratio 6 ARCH model 5 ARCH-Modell 5 Theorie 5 Theory 5 conditional correlations 5 hedging strategies 5 optimal portfolio weights 5 Derivat 4 Derivative 4 Risk and Uncertainty 4 hedging effectiveness 4 Commodity derivative 3 Commodity exchange 3 Futures 3 GARCH 3 Portfolio selection 3 Portfolio-Management 3 Rohstoffderivat 3 Volatility 3 Volatilität 3 Warenbörse 3 crude oil prices 3 multivariate GARCH 3 optimal Hedge Ratio 3 Boi Gordo 2 Currency derivative 2 DCC-GARCH 2 Discrete and Continuous Wavelets Coherence and Phase 2 Dynamic and Static Hedging 2 ECM 2 Electricity Futures 2 Electricity Futures and Spot Prices 2 Electricity Price Risk 2 Fat cattle 2 Future and spot prices 2
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Online availability
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Free 35 CC license 3
Type of publication
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Book / Working Paper 18 Article 16 Other 1
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Article 3 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 16 Undetermined 16 German 2 Portuguese 1
Author
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Chang, Chia-Lin 4 González-Serrano, Lydia 3 Jimenez-Martin, Juan Angel Jimenez Martin 3 Madaleno, Mara 3 Pinho, Carlos 3 Campos, Silva Kanadani 2 Costa, Jaqueline Severino 2 Frensidy, Budi 2 Huruta, Andrian Dolfriandra 2 McAleer, Michael 2 Pan, Zhiyuan 2 Robiyanto, Robiyanto 2 Rodt, Marc 2 Schäfer, Klaus 2 Silva, Adriana Ferreira 2 Sun, Xianchao 2 Tansuchat, Roengchai 2 Yuliana, Ashalia Fitri 2 Zilli, Julcemar Bruno 2 Ahmadian, Majid 1 Barnett, Barry J. 1 Białkowski, Je̜drzej 1 Bohl, Martin T. 1 Bonga-Bonga, Lumengo 1 Buyukkara, Goknur 1 Caporin, Massimiliano 1 Cesar, Jose 1 Chan, Kam Fong 1 Chang, C-L. 1 Coble, Keith H. 1 El-Khatib, Youssef 1 Gan, Christopher 1 Ghorbani, Pouria 1 Guan, Zhengfei 1 Gupta, Kapil 1 Haefliger, Thomas 1 Harri, Ardian 1 Harris, Richard D. F. 1 Hatemi-J, Abdulnasser 1 Jabalameli, Farkhondeh 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 3 Agricultural and Applied Economics Association - AAEA 2 Sociedade Brasileira de Economia e Sociologia Rural - SOBER 2 Department of Economics, Faculty of Business and Economics 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Fakultät Wirtschaftswissenschaften, Technische Universität Bergakademie Freiberg 1 Institute of Economic Research, Kyoto University 1
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Published in...
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MPRA Paper 4 Documentos de Trabajo del ICAE 3 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil 2 Journal of Risk and Financial Management 2 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 1 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 1 Borsa Istanbul Review 1 Cogent Business & Management 1 Cogent business & management 1 Copernican Journal of Finance & Accounting : CJF&A 1 Econometric Institute Report 1 Econometric Institute Research Papers 1 Freiberg Working Papers 1 Freiberger Arbeitspapiere 1 International Econometric Review (IER) 1 International Journal of Economics and Financial Issues 1 International econometric review 1 International journal of economics and financial issues : IJEFI 1 Iranian economic review : journal of University of Tehran 1 Journal of agricultural and applied economics : JAEE 1 Journal of risk and financial management : JRFM 1 KIER Working Papers 1 Multinational Finance Journal 1 Quantitative finance and economics 1 Research Papers / Department of Economics, Faculty of Business and Economics 1 Working paper 1
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Source
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RePEc 19 ECONIS (ZBW) 10 EconStor 4 BASE 2
Showing 1 - 10 of 35
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Sustainable and responsible investment dynamic cross-asset portfolio
Robiyanto, Robiyanto; Huruta, Andrian Dolfriandra; … - In: Cogent Business & Management 10 (2023) 1, pp. 1-14
Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from...
Persistent link: https://www.econbiz.de/10014527774
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Cover Image
Sustainable and responsible investment dynamic cross-asset portfolio
Robiyanto, Robiyanto; Huruta, Andrian Dolfriandra; … - In: Cogent business & management 10 (2023) 1, pp. 1-14
Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from...
Persistent link: https://www.econbiz.de/10014466665
Saved in:
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Optimal hedge ratios and hedging effectiveness : an analysis of the Turkish futures market
Buyukkara, Goknur; Kucukozmen, C. Coskun; Uysal, E. Tolga - In: Borsa Istanbul Review 22 (2022) 1, pp. 92-102
The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of different futures contracts traded on the Borsa Istanbul (BIST), namely the BIST 30 equity index, US dollar–Turkish lira currency futures (USD-TRY), euro–Turkish lira (EUR-TRY)...
Persistent link: https://www.econbiz.de/10012818026
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Commodity futures hedge ratios : a meta-analysis
Białkowski, Je̜drzej; Bohl, Martin T.; Perera, Devmali - 2022
Persistent link: https://www.econbiz.de/10013545700
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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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Hedging the price risk inherent in revenue protection insurance
Tiwari, Sweta; Coble, Keith H.; Barnett, Barry J.; … - In: Journal of agricultural and applied economics : JAEE 53 (2021) 4, pp. 510-530
Persistent link: https://www.econbiz.de/10012798506
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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
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Risk management in oil market : a comparison between multivariate GARCH models and Copula-based models
Jabalameli, Farkhondeh; Ghorbani, Pouria; Ahmadian, Majid - In: Iranian economic review : journal of University of Tehran 24 (2020) 2, pp. 489-513
Persistent link: https://www.econbiz.de/10012220873
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Estimating hedging effectiveness using variance reduction and risk-return approaches : evidence from national stock exchange of India
Kaur, Mandeep; Gupta, Kapil - In: Copernican Journal of Finance & Accounting : CJF&A 8 (2019) 4, pp. 149-169
Persistent link: https://www.econbiz.de/10012242114
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Bitcoin-based triangular arbitrage with the Euro/U.S. dollar as a foreign futures hedge : modeling with a bivariate GARCH model
Nan, Zheng; Kaizoji, Taisei - In: Quantitative finance and economics 3 (2019) 2, pp. 347-365
Persistent link: https://www.econbiz.de/10012176483
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