Scarpa, Elisa; Manera, Matteo - In: Journal of Futures Markets 28 (2008) 5, pp. 464-487
In this paper a simple strategy for pricing and hedging a swap on the Japanese crude oil cocktail (JCC) index is discussed. The empirical performance of different econometric models is compared in terms of their computed optimal hedge ratios, using monthly data on the JCC over the period January...