Nonlinear Regime Shifts in Oil Price Hedging Dynamics
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More about this item
Keywordsoil price dynamics; dynamic hedging; logistic smooth transition; multivariate GARCH.;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-22 (All new papers)
- NEP-CWA-2011-09-22 (Central & Western Asia)
- NEP-ENE-2011-09-22 (Energy Economics)
- NEP-ETS-2011-09-22 (Econometric Time Series)
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