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

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

Persistent link: https://www.econbiz.de/10011298957

Hedging strategy using copula and nonparametric methods : evidence from China securities index futures

Pan, Zhiyuan; Sun, Xianchao - In: International journal of economics and financial issues … 4 (2014) 1, pp. 107-121

Persistent link: https://www.econbiz.de/10010519719

Improving futures hedging performance using option information : evidence from the S&P 500 index

Bai, Yujuan; Pan, Zhiyuan; Liu, Li - In: Finance research letters 28 (2019), pp. 112-117

Persistent link: https://www.econbiz.de/10012388029

Structural breaks, macroeconomic fundamentals and cross hedge ratio

Pan, Zhiyuan; Xiao, Dongli; Dong, Qingma; Liu, Li - In: Finance research letters 47 (2022) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10013459139

Exploiting the sentiments : a simple approach for improving cross hedging effectiveness

Pan, Zhiyuan; Fu, Ziqian; Wang, Yudong; Dong, Qingma - In: Energy economics 134 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015047133

Dynamic hedging strategy in incomplete market : evidence from Shanghai fuel oil futures market

Lin, Xiaoqiang; Chen, Qiang; Tang, Zhenpeng - In: Economic modelling 40 (2014), pp. 81-90

Persistent link: https://www.econbiz.de/10010425724

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

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...

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