WTI crude oil Futures in portfolio diversification: The time-to-maturity effect

Journal of Banking and Finance

Volumn 32, Issue 12, 2008, Pages 2553-2559

  Geman, Hélyette ^a   Kharoubi, Cécile ^b  

^a UNIVERSITY OF LONDON   (United Kingdom)

^b ESCP EUROPE   (France)

Author keywords

Constant maturity oil Futures contracts; Copulas for commodities; WTI crude oil forward curve

Indexed keywords

EID: 55149120480     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.04.002     Document Type: Article

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