Hedging crude oil using refined product: A regime switching asymmetric DCC approach

In this paper, we explore the strategy on hedging crude oil using refined product. We develop a regime switching asymmetric DCC (RS-ADCC) model by taking into account both of regime switching and asymmetry in correlations. Our out-of-sample findings indicate that RS-ADCC displays greater hedging effectiveness than some conventional multivariate GARCH. Heating oil can better hedge crude oil than gasoline.

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Year of publication:	2014
Authors:	Pan, Zhiyuan ; Wang, Yudong ; Yang, Li
Published in:	Energy Economics. - Elsevier, ISSN 0140-9883. - Vol. 46.2014, C, p. 472-484
Publisher:	Elsevier
Subject:	Crude oil \| Regime switching \| Asymmetry \| Hedging

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011115875