Vladimir Zakic

University of Belgrade - Faculty of Agriculture

6 Nemanjina Str

Zemun, 11080

Serbia

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Scholarly Papers (1)

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Empirical Analysis of Oil Risk-Minimizing Portfolios: The DCC–GARCH–MODWT Approach

Journal of Operational Risk, Forthcoming
Number of pages: 27 Posted: 28 Jan 2020
Dejan Živkov, Jovan Njegić and Vladimir Zakic
Novi Sad Business School, Novi Sad Business School and University of Belgrade - Faculty of Agriculture
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Abstract:

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oil hedging, portfolio, risk-minimizing metrics, heterogeneous assets, wavelet, rolling DCC–GARCH model