Tanattrin Bunnag

Hedging Petroleum Futures with Multivariate GARCH Models

Hedging Petroleum Futures with Multivariate GARCH Models

International Journal of Energy Economics and Policy

2015-Cilt: 5 Sayı: 1

105-120

The petroleum futures volatility, comovements and spillovers, multivariate GARCH models, optimal portfolio weights, hedging ratios

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