Futures hedging effectiveness under the segmentation of bear/bull energy markets

Energy Economics

Volumn 32, Issue 2, 2010, Pages 442-449

  Chang, Chiao Yi ^a   Lai, Jing Yi ^b   Chuang, I Yuan ^b  

^a NATIONAL KAOHSIUNG UNIVERSITY OF APPLIED SCIENCES   (Taiwan)

^b NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

Author keywords

Energy futures; GARCH model; Hedge ratio

Indexed keywords

BEAR MARKET; BULL MARKET; ENERGY FUTURE; ENERGY MARKETS; FUTURES CONTRACT; GARCH MODELS; HEDGE RATIO; PRICE PATTERNS; PRICE TRENDS; STATE SPACE MODEL;

COMMERCE; CRUDE OIL; ELECTRIC DISCHARGE MACHINING; FENCES;

CONTRACTS;

CRUDE OIL; ENERGY MARKET; NUMERICAL MODEL; PRICE DETERMINATION; REGRESSION ANALYSIS;

EID: 74349107419     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2009.09.012     Document Type: Article

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