Risk management and portfolio optimization for agricultural commodity futures returns: Multivariate heterogeneous autoregressive realized volatility (MHAR-RV) approach

Risk management and portfolio optimization for agricultural commodity futures returns: Multivariate heterogeneous autoregressive realized volatility (MHAR-RV) approach

© Serials Publications Pvt.Ltd. The objectives of this paper are to construct the efficient frontier and optimum portfolio from the most commonly traded agricultural commodity futures, and to evaluate financial risk by Value at Risk. We evaluated alternative volatility forecasting and computed daily...

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Bibliographic Details
Main Authors: Tanapol Rattanasamakarn, Roengchai Tansuchat
Format: Journal
Published: 2018
Subjects:
Economics, Econometrics and Finance
Agricultural and Biological Sciences
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85019601919&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/46496
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Institution: Chiang Mai University

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http://cmuir.cmu.ac.th/jspui/handle/6653943832/46496

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