Oil hedging with a multivariate semiparametric value-at-risk portfolio

Author:

Živkov Dejan,Manić Slavica,Đurašković Jasmina,Gajić-Glamočlija Marina

Publisher

Elsevier BV

Subject

General Medicine

Reference47 articles.

1. Global equity investing: An efficient frontier approach;Abuaf;International Finance,2018

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4. Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach;Al Janabi;Physica A: Statistical Mechanics and Its Applications,2019

5. Forecasting value-at-risk with two-step method: GARCH exponentiated odd log-logistic normal model;Altun;Romanian Journal of Economic Forecasting,2017

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