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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/66, pp. 1-7

Persistently high negative covariances between risky assets and hedging instruments are intended to mitigate against … risk and subsequent financial losses. In the event of having more than one hedging instrument, multivariate covariances …

Persistent link: https://www.econbiz.de/10012022157

What they did not tell you about algebraic (non-)existence, mathematical (IR-)regularity and (non-)asymptotic properties of the dynamic conditional correlation (DCC) model

McAleer, Michael - 2019

Persistent link: https://www.econbiz.de/10011987013

Correlation asymmetry and implication on hedging

Trabelsi, Abdelwahed; Ennabli, Asma - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 30-56

Persistent link: https://www.econbiz.de/10011862371

On calendar energy options

Li, Lide; Kleindorfer, Paul R. - In: Risk and decision analysis 4 (2013) 4, pp. 225-233

Persistent link: https://www.econbiz.de/10010475802

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9

assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more … than one hedging instrument, multivariate covariances and correlations have to be calculated. As optimal hedge ratios are … correlation model to have been developed to date, namely the widely used Dynamic Conditional Correlation (DCC) model. Dynamic …

Persistent link: https://www.econbiz.de/10012022209