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ArticleMeasuring the hedging effectiveness of commodities

Pornchai Chunhachinda2018

Article2018

Measuring the hedging effectiveness of commodities

Pornchai Chunhachinda · Maria Eugenia De Boyrie · Ivelina Pavlova

25 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2002Dynamic Conditional Correlation 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 2006Facts and Fantasies about Commodity Futures 2012Financialization, crisis and commodity correlation dynamics 2015Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH 2011Should investors include commodities in their portfolios after all? New evidence 2014Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat 2007On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios

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Year2018

Typearticle

Published2018-09-22

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2018.09.012

openalex_workW2893470458

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