Markov switching dynamic correlation: An empirical study of hedging in crude oil and natural gas markets

• المؤلفون الرئيسيون: O. Rossarin, S. Worrawat, A. Kittawit, Y. Woraphon
• التنسيق: دورية
• منشور في: 2019
• الموضوعات: Mathematics
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85068476805&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/65696

© 2019 by the Mathematical Association of Thailand. All rights reserved. This article studies how to achieve risk-minimization through hedging strategy in crude oil and natural gas markets. In this study, the covariance of spot and futures returns is computed through the Markov Switching Dynamic Con...