Crude oil hedging strategies using dynamic multivariate GARCH

Energy Economics

Volumn 33, Issue 5, 2011, Pages 912-923

  Chang, Chia Lin ^a   McAleer, Michael ^b,c,d   Tansuchat, Roengchai ^e  

^a NATIONAL CHUNG HSING UNIVERSITY   (Taiwan)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^c TINBERGEN INSTITUTE   (Netherlands)

^d KYOTO UNIVERSITY   (Japan)

^e MAEJO UNIVERSITY   (Thailand)

Author keywords

Conditional correlations; Crude oil prices; Hedging strategies; Multivariate GARCH; Optimal hedge ratio; Optimal portfolio weights

Indexed keywords

CONDITIONAL CORRELATION; CRUDE OIL PRICES; HEDGING STRATEGIES; MULTIVARIATE GARCH; OPTIMAL HEDGE RATIO; OPTIMAL PORTFOLIOS;

FENCES; INVESTMENTS; OPTIMIZATION;

CRUDE OIL;

CORRELATION; CRUDE OIL; EMPIRICAL ANALYSIS; MULTIVARIATE ANALYSIS; NUMERICAL MODEL; PRICE DYNAMICS;

EID: 80052157853     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2011.01.009     Document Type: Article

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