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  • Search: subject:"time-varying Archimedean copulas"
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accounting 1 bivariate standardised residuals 1 copula theory 1 crude oil 1 extreme value theory 1 heating oil 1 long memory 1 oil futures markets 1 optimal hedging strategy 1 propane 1 return improvement 1 risk reduction 1 spot markets 1 time-varying Archimedean copulas 1 volatility 1
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Ghorbel, Ahmed 1 Trabelsi, Abdelwahed 1
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International Journal of Managerial and Financial Accounting 1
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Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Managerial and Financial Accounting 4 (2012) 1, pp. 1-28
The goal of this paper is to evaluate the hedging strategies performance of a range of copula and traditional methods for three spot and futures oil markets: WTI crude oil, propane and heating oil. Our contribution is two-fold. First, we model dependence structure between spot and futures oil...
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