Natural gas price, market fundamentals and hedging effectiveness
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DOI: 10.1016/j.qref.2020.05.001
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Cited by:
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- Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
- Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management," Resources Policy, Elsevier, vol. 73(C).
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More about this item
Keywords
Natural gas Market; Hedge ratio; Volatility; Weather; Macroeconomic News; DCC-MGARCH; VECM;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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