✦ LIBER ✦

Testing for time-varying long-range dependence in volatility for emerging markets

✍ Scribed by Daniel O. Cajueiro; Benjamin M. Tabak

Publisher: Elsevier Science
Year: 2005
Tongue: English
Weight: 348 KB
Volume: 346
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2004.08.030

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Crack spread hedging: accounting for tim

Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets

✍ Michael S. Haigh; Matthew T. Holt 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 221 KB 👁 1 views

## Abstract Crude oil, heating oil, and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader. A conceptual model is developed for a trader hedging the ‘crack spread’. Various hedge ratio estimation techniques are c

Time-varying correlations and optimal al

Time-varying correlations and optimal allocation in emerging market equities for the US investors

✍ Heung-Joo Cha; Thadavillil Jithendranathan 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 199 KB

## Abstract Low correlations between asset returns increase the portfolio diversification benefits and for US investors emerging market equities are one such class of assets. Several studies indicate that the correlations between asset returns are time varying and using unconditional estimates of c