Pan, Zhiyuan; Wang, Yudong; Yang, Li - In: Energy Economics 46 (2014) C, pp. 472-484
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...