Cross-commodity hedging for illiquid futures : evidence from China's base metal futures market
Year of publication: |
2021
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Authors: | Chen, Xiangyu ; Tongurai, Jittima |
Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 1117243-5. - Vol. 49.2021, p. 1-20
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Subject: | Base metal futures | Commodity market | Conditional correlation | Dynamic hedge ratio | Hedge strategy | Hedging | Rohstoffderivat | Commodity derivative | China | Warenbörse | Commodity exchange | Derivat | Derivative | Metallmarkt | Metal market | ARCH-Modell | ARCH model | Metall | Metal | Volatilität | Volatility |
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