Crude oil price shocks and hedging performance : a comparison of volatility models
Dohyun Chun, Hoon Cho, Jihun Kim
| Year of publication: |
2019
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|---|---|
| Authors: | Chun, Dohyun ; Cho, Hoon ; Kim, Jihun |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 81.2019, p. 1132-1147
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| Subject: | Crude oil prices | Crude oil price shocks | Hedging strategies | Minimum variance hedge ratio | Stochastic volatility model | Volatilität | Volatility | Hedging | Ölpreis | Oil price | Theorie | Theory | ARCH-Modell | ARCH model | Welt | World | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.06.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012173083