Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets
Year of publication: |
2014
|
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Authors: | Casarin, Roberto ; Billio, Monica ; Osuntuyi, Anthony |
Institutions: | Dipartimento di Economia, Università Ca' Foscari Venezia |
Subject: | Energy futures | GARCH | Hedge ratio | Markov-switching |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2014:07 31 pages |
Classification: | C1 - Econometric and Statistical Methods: General ; C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; F31 - Foreign Exchange ; G15 - International Financial Markets |
Source: |
-
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model
Billio, Monica, (2013)
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Bayesian Markov Switching Stochastic Correlation Models
Casarin, Roberto, (2013)
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Markov switching GARCH models for Bayesian hedging on energy futures markets
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Efficient Gibbs Sampling for Markov Switching GARCH Models
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Efficient Gibbs sampling for Markov switching GARCH models
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Markov switching GARCH models for Bayesian hedging on energy futures markets
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