Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies

DOI10.1080/02664763.2016.1155107OpenAlexW2462979291MaRDI QIDQ5138647

Anis Jarboui, Ahmed Ghorbel, Wajdi Hamma

Publication date: 4 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2016.1155107

zbMATH Keywords

dependence structuremultivariate GARCHArchimedean copulashedging strategyoil-commodity portfoliooptimal portfolio weightrolling estimation procedure

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites Work

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