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Hedging crude oil using refined product: A regime switching asymmetric DCC approach
16 references·8 citing·31 second hop
Hedging crude oil using refined product: A regime switching asymmetric DCC approach (2014)Hedging crude oil using refined product: …Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutomatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Multivariate GARCH models: a surveyMultivariate GARCH models: a …The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors (2023)The extreme return connectedn…Is greenness an optimal hedge for sectoral stock indices? (2022)Is greenness an optimal hedge…Dynamic connectedness and optimal hedging strategy among commodities and financial indices (2022)Dynamic connectedness and opt…Investigation and optimization analysis on deployment of China coal chemical industry under carbon emission constraints (2019)Investigation and optimizatio…Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models (2019)Can alternative hedging asset…The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems (2018)The Minimum-CVaR strategy wit…Performance of Utility Based Hedges (2015)Performance of Utility Based …Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets (2014)Markov Switching GARCH Models…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Econometric Analysis of Cross Section and Panel Data (2001)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited

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  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • Cited by

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    • 2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems51 cited
    • 2019Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models47 cited
    • 2023The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors39 cited
    • 2022Dynamic connectedness and optimal hedging strategy among commodities and financial indices29 cited
    • 2015Performance of Utility Based Hedges28 cited