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Keywords: Copulas
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Journal Articles
Conditional dependence structure between oil prices and international stock markets: Implication for portfolio management and hedging effectiveness
Available to Purchase
International Journal of Energy Sector Management (2020) 14 (2): 439–467.
Published: 13 August 2019
... to May 19, 2016 by a various copula functions to better modeling the dependence between crude oil market and stock markets, and to use dependence coefficients and conditional variance to calculate optimal portfolio weights and optimal hedge ratios, and to suggest the best hedging strategy for oil-stock...
