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Hedging Effectiveness of Currency ETFs Against WTI Crude Oil Price Fluctuations
Studies in Fuzziness and Soft Computing (Springer, Cham, 01.01.2022)In this study, hedging effectiveness of 10 currencies ETFs over the crude oil price fluctuations have been tested using symmetric and asymmetric dependence structure. We use ARMA-EGARCH model to obtain margins that are ...