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Nonlinear examination of the "heat wave" and "meteor shower" effects between spot and futures markets of the precious metals

Živkov, Dejan; Manić, Slavica; Pavkov, Ivan - In: Empirical economics : a quarterly journal of the … 63 (2022) 2, pp. 1109-1134

Persistent link: https://www.econbiz.de/10013440356

Energy commodity price risk minimization with precious metals in a multivariate portfolio

Živkov, Dejan; Damnjanović, Jelena; … - In: Finance a úvěr 72 (2022) 1, pp. 50-70

Persistent link: https://www.econbiz.de/10013189236

Multiscale downside risk interdependence between the major agricultural commodities

Živkov, Dejan; Đurašković, Jasmina; … - In: Agribusiness : an international journal 38 (2022) 4, pp. 990-1011

Persistent link: https://www.econbiz.de/10013464830

Oil hedging with a multivariate semiparametric value-at-risk portfolio

Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina; … - In: Borsa Istanbul Review 22 (2022) 6, pp. 1118-1131

This paper minimizes the risk of Brent oil in a multivariate portfolio, with three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) stock indexes and five...

Persistent link: https://www.econbiz.de/10014305873