Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies (Q5138647)
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scientific article; zbMATH DE number 7282110
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies |
scientific article; zbMATH DE number 7282110 |
Statements
Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies (English)
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4 December 2020
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dependence structure
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multivariate GARCH
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Archimedean copulas
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oil-commodity portfolio
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hedging strategy
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optimal portfolio weight
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rolling estimation procedure
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