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Hedging crude oil using refined product: A regime switching asymmetric DCC approach · Study

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ArticleHedging crude oil using refined product: A regime switching asymmetric DCC approach

Zhiyuan Pan2014

Article2014

Hedging crude oil using refined product: A regime switching asymmetric DCC approach

Zhiyuan Pan · Yudong Wang · Li Yang

65 citations·0/0 files stored·Energy Economics

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Risk Management in Financial Firms

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Testing for a Unit Root in Time Series Regression 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation

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Year2014

Typearticle

Published2014-06-10

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations65

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2014.05.014

openalex_workW2019023015

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