Tom Erik Henriksen

NMBU School of Economics and Business

Ph.D. Fellow

PO Box 5003

1432 Ås

Norway

SCHOLARLY PAPERS

2

DOWNLOADS

182

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Modelling the Multivariate Dynamic Dependence Structure of Commodity Futures Portfolios

Journal of Commodity Markets, Vol. 6, No. 1, 66-87, 2017
Number of pages: 55 Posted: 08 Sep 2015 Last Revised: 15 Jul 2017
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance, NMBU School of Economics and Business and Zeppelin University, Chair of Finance
Downloads 182 (205,678)
Citation 1

Abstract:

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Multivariate dynamic copulas; regime-switching copulas; dynamic conditional correlation (DCC) model; forecast performance; commodity portfolio

2.

Can Commodities Dominate Stock and Bond Portfolios?

Henriksen, T.E.S., Pichler, A., Westgaard, S. et al. Can commodities dominate stock and bond portfolios?. Ann Oper Res 282, 155–177 (2019). Doi.org/10.1007/s10479-018-2996-7
Posted: 24 Nov 2019 Last Revised: 14 Feb 2020
Stein Frydenberg, Tom Erik Henriksen, Sjur Westgaard and Alois Pichler
NTNU Business School - Norwegian University of Science and Technology (NTNU), NMBU School of Economics and Business, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and affiliation not provided to SSRN

Abstract:

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Commodities, Stochastic Dominance, Asset Allocation