A dynamic model of hedging and speculation in the commodity futures markets
Giulio Cifarelli, Giovanna Paladino
| Year of publication: |
September 2015
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|---|---|
| Authors: | Cifarelli, Giulio ; Paladino, Giovanna |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 25.2015, p. 1-15
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| Subject: | Commodity spot and futures markets | Dynamic hedging | Speculation | Non-linear GARCH | Markov regime switching | Hedging | Rohstoffderivat | Commodity derivative | Spekulation | Warenbörse | Commodity exchange | Theorie | Theory | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Spotmarkt | Spot market | Futures | Volatilität | Volatility | Währungsderivat | Currency derivative | Rohstoffpreis | Commodity price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2015.07.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011477250