Hedging effectiveness of currency ETFs against WTI crude oil price fluctuations

DOI10.1007/978-3-030-93699-0_8MaRDI QIDQ2100519zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 22 November 2022

Full work available at URL https://doi.org/10.1007/978-3-030-93699-0_8

zbMATH Keywords

conditional dependencecopulaEGARCHexchange traded fundshedgesafe havenWTI crude oil

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• An introduction to copulas.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Copula–Based Models for Financial Time Series
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• The t Copula and Related Copulas

Cited in

(3)

• Oil price risk exposure of BRIC stock markets and hedging effectiveness
• Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach
• Conditional dependence among oil, gold and U.S. dollar exchange rates: a copula-GARCH approach

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Uses Software

• QRM

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