Please use this identifier to cite or link to this item:
https://doi.org/10.21256/zhaw-30079Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Boos, Dominik | - |
| dc.date.accessioned | 2024-03-01T09:27:37Z | - |
| dc.date.available | 2024-03-01T09:27:37Z | - |
| dc.date.issued | 2024-02-18 | - |
| dc.identifier.issn | 0270-7314 | de_CH |
| dc.identifier.issn | 1096-9934 | de_CH |
| dc.identifier.uri | https://digitalcollection.zhaw.ch/handle/11475/30079 | - |
| dc.description.abstract | The seasonal risk of wheat, corn, and soybean is modeled by a novel seasonality filter based on a generalized ridge regression. Then, using a component GARCH model, seasonal risk is combined with event risk and a short-term risk dynamics. The resulting model is robust, generates seasonal patterns related to the crop cycle, and significantly outperforms the standard GARCH(1,1) in terms of out-of-sample risk prediction. Results are relevant for risk management and portfolio construction. | de_CH |
| dc.language.iso | en | de_CH |
| dc.publisher | Wiley | de_CH |
| dc.relation.ispartof | The Journal of Futures Markets | de_CH |
| dc.rights | http://creativecommons.org/licenses/by/4.0/ | de_CH |
| dc.subject | ARCH | de_CH |
| dc.subject | Commodity | de_CH |
| dc.subject | Event risk | de_CH |
| dc.subject | Ridge regression | de_CH |
| dc.subject | Seasonality | de_CH |
| dc.subject.ddc | 338: Produktion | de_CH |
| dc.title | Risky times : seasonality and event risk of commodities | de_CH |
| dc.type | Beitrag in wissenschaftlicher Zeitschrift | de_CH |
| dcterms.type | Text | de_CH |
| zhaw.departement | School of Management and Law | de_CH |
| zhaw.organisationalunit | Institut für Wealth & Asset Management (IWA) | de_CH |
| dc.identifier.doi | 10.1002/fut.22492 | de_CH |
| dc.identifier.doi | 10.21256/zhaw-30079 | - |
| zhaw.funding.eu | No | de_CH |
| zhaw.originated.zhaw | Yes | de_CH |
| zhaw.publication.status | publishedVersion | de_CH |
| zhaw.publication.review | Peer review (Publikation) | de_CH |
| zhaw.webfeed | W: Spitzenpublikation | de_CH |
| zhaw.author.additional | No | de_CH |
| zhaw.display.portrait | Yes | de_CH |
| Appears in collections: | Publikationen School of Management and Law | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2024_Boos_Seasonality-and-event-risk-of-commodities.pdf | 1.24 MB | Adobe PDF |  View/Open |
Show simple item record
Boos, D. (2024). Risky times : seasonality and event risk of commodities. The Journal of Futures Markets. https://doi.org/10.1002/fut.22492
Boos, D. (2024) ‘Risky times : seasonality and event risk of commodities’, The Journal of Futures Markets [Preprint]. Available at: https://doi.org/10.1002/fut.22492.
D. Boos, “Risky times : seasonality and event risk of commodities,” The Journal of Futures Markets, Feb. 2024, doi: 10.1002/fut.22492.
BOOS, Dominik, 2024. Risky times : seasonality and event risk of commodities. The Journal of Futures Markets. 18 Februar 2024. DOI 10.1002/fut.22492
Boos, Dominik. 2024. “Risky Times : Seasonality and Event Risk of Commodities.” The Journal of Futures Markets, February. https://doi.org/10.1002/fut.22492.
Boos, Dominik. “Risky Times : Seasonality and Event Risk of Commodities.” The Journal of Futures Markets, Feb. 2024, https://doi.org/10.1002/fut.22492.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.