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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Digital文書・図像類
Chang, Chia-Lin, McAleer, Michael, Tansuchat, RoengchaiInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper743
Available onlineOther Libraries in Japan
  • Summary, etc...., to calculate optimal portfolio weights and optimal he...... show that the optimal portfolio weights of all multivariate volatilit...
  • Subject Heading...al hedge ratio optimal portfolio weights hedging strategies

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Paper文書・図像類
Tansuchat, Roengchai, Chang, Chia-Lin, McAleer, Michael日本経済国際共同センター2010-01Discussion paper series. CIRJE-FCIRJE-F-704
Other Libraries in Japan
  • Subject Heading...al hedge ratio optimal portfolio weights hedging strategies JEL Classi...

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