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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| Main Authors: | , , , |
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| 格式: | 雜誌 |
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2019
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| 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 |
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