Hedging effectiveness of currency ETFs against WTI crude oil price fluctuations

DOI10.1007/978-3-030-93699-0_8OpenAlexW4214854506MaRDI QIDQ2100519

Yanyan Li

Publication date: 22 November 2022

Full work available at URL: https://doi.org/10.1007/978-3-030-93699-0_8

zbMATH Keywords

copulaEGARCHconditional dependencehedgesafe havenexchange traded fundsWTI crude oil

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• QRM

Cites Work

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• An introduction to copulas.
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• The t Copula and Related Copulas
• Copula–Based Models for Financial Time Series

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