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

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

© 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...

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書目詳細資料
Main Authors:	O. Rossarin, S. Worrawat, A. Kittawit, Y. Woraphon
格式:	雜誌
出版:	2019
主題:	Mathematics
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85068476805&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65696
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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