Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models
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Cited by:
- Ahmed Ghorbel & Wajdi Hamma & Anis Jarboui, 2017. "Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(9), pages 1509-1542, July.
- Wang, Shuang & Wallace, Stein W. & Lu, Jing & Gu, Yewen, 2020. "Handling financial risks in crude oil imports: Taking into account crude oil prices as well as country and transportation risks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 133(C).
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Keywords
time-varying Archimedean copulas; optimal hedging strategy; long memory; volatility; extreme value theory; oil futures markets; accounting; spot markets; crude oil; propane; heating oil; copula theory; risk reduction; return improvement; bivariate standardised residuals.;All these keywords.
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