Markov switching GARCH models for Bayesian hedging on energy futures markets
Monica Billio, Roberto Casarin, Anthony Osuntuyi
| Year of publication: |
February 2018
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|---|---|
| Authors: | Billio, Monica ; Casarin, Roberto ; Osuntuyi, Anthony |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 70.2018, p. 545-562
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| Subject: | Energy futures | GARCH | Hedge ratio | Markov-switching | ARCH-Modell | ARCH model | Hedging | Markov-Kette | Markov chain | Rohstoffderivat | Commodity derivative | Bayes-Statistik | Bayesian inference | Energiemarkt | Energy market | Warenbörse | Commodity exchange | Volatilität | Volatility | Ölmarkt | Oil market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.06.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011942887