Crack spead hedging : accounting for time-varying volatility spillovers in the energy futures markets
Year of publication: |
2002
|
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Authors: | Haigh, Michael S. ; Holt, Matthew T. |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 17.2002, 3, p. 269-289
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Subject: | Hedging | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Theorie | Theory |
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