Looking Beyond Wine Risk-Adjusted Performance
| dc.rights.license | open | en_US |
| dc.contributor.author | MAURER, Frantz | |
| hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
| dc.contributor.author | CARDEBAT, Jean Marie
IDREF: 061663352 | |
| hal.structure.identifier | Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi] | |
| dc.contributor.author | JIAO, Linda | |
| dc.date.accessioned | 2022-05-23T08:44:53Z | |
| dc.date.available | 2022-05-23T08:44:53Z | |
| dc.date.issued | 2020-05 | |
| dc.identifier.issn | 1931-4361 | en_US |
| dc.identifier.uri | oai:crossref.org:10.1017/jwe.2020.18 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/140094 | |
| dc.description.abstractEn | In this paper, we use copula-GARCH models applied to daily data from March 2010 to March 2018 to test the time-varying dependence of the Liv-ex 50, a secondary market fine wine index comprised of the ten most recent vintages of the five Bordeaux First Growths, with a portfolio composed of the six main stock markets (S&P 500, CAC 40, DAX 30, FTSE 100, and Hang Seng). Our results suggest that the Liv-ex 50 underperforms the six stock indexes, but provides diversification benefits in terms of volatility, asymmetry, and extreme events. | |
| dc.language.iso | EN | en_US |
| dc.source | crossref | |
| dc.subject | portfolio management | |
| dc.subject | wine | |
| dc.subject.en | alternative assets | |
| dc.subject.en | copulas | |
| dc.title.en | Looking Beyond Wine Risk-Adjusted Performance | |
| dc.type | Article de revue | en_US |
| dc.identifier.doi | 10.1017/jwe.2020.18 | en_US |
| dc.subject.hal | Sciences de l'Homme et Société/Economies et finances | en_US |
| bordeaux.journal | Journal of Wine Economics | en_US |
| bordeaux.page | 229-259 | en_US |
| bordeaux.volume | 15 | en_US |
| bordeaux.hal.laboratories | Laboratoire d'analyse et de recherche en économie et finance internationales (LAREFI) - EA2954 | en_US |
| bordeaux.issue | 2 | en_US |
| bordeaux.institution | Université de Bordeaux | en_US |
| bordeaux.institution | CNRS | en_US |
| bordeaux.peerReviewed | oui | en_US |
| bordeaux.inpress | non | en_US |
| bordeaux.import.source | dissemin | |
| hal.identifier | hal-03675452 | |
| hal.version | 1 | |
| hal.date.transferred | 2022-05-23T08:44:56Z | |
| hal.export | true | |
| workflow.import.source | dissemin | |
| dc.rights.cc | Pas de Licence CC | en_US |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal%20of%20Wine%20Economics&rft.date=2020-05&rft.volume=15&rft.issue=2&rft.spage=229-259&rft.epage=229-259&rft.eissn=1931-4361&rft.issn=1931-4361&rft.au=MAURER,%20Frantz&CARDEBAT,%20Jean%20Marie&JIAO,%20Linda&rft.genre=article |
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