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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| Main Authors: | , |
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| Format: | Journal |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85019601919&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/56870 |
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| Institution: | Chiang Mai University |