Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios

The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more e...

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Bibliographic Details
Main Authors: Engström, Daniel, Gustafsson, Niklas
Format: Others
Language:English
Published: Linköpings universitet, Nationalekonomi 2017
Subjects:
Hedging
hedge
commodities
futures
hedge ratio
conditional correlation
DCC
GO-GARCH
DCC-GARCH
GARCH
Dynamic conditional correlation
oil
GSCI
copper
gold
safe haven
optimal hedge ratio
finance
economics
markets
risk
risk management
hedge effectiveness
Risk
riskhantering
råvaror
terminer
hedging
Economics
Nationalekonomi
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139040

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139040

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