A dynamic model of hedging and speculation in the commodity futures markets
Year of publication: |
September 2015
|
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Authors: | Cifarelli, Giulio ; Paladino, Giovanna |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 25.2015, p. 1-15
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Subject: | Commodity spot and futures markets | Dynamic hedging | Speculation | Non-linear GARCH | Markov regime switching | Hedging | Rohstoffderivat | Commodity derivative | Warenbörse | Commodity exchange | Spekulation | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Rohstoffpreis | Commodity price | Spotmarkt | Spot market | Volatilität | Volatility | Theorie | Theory | Schätzung | Estimation | Rohstoffmarkt | Commodity market | Rohstoffspekulation | Commodity speculation | Futures |
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