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Persistent link: https://www.econbiz.de/10011293875
A new Bayesian multi-chain Markov Switching GARCH model for dynamic hedging in energy futures markets is developed by constructing a system of simultaneous equations for the return dynamics on the hedged portfolio and futures. More specifically, both the mean and variance of the hedged portfolio...
Persistent link: https://www.econbiz.de/10013033418
Persistent link: https://www.econbiz.de/10011629426