Nonlinear Regime Shifts in Oil Price Hedging Dynamics
Year of publication: |
2011
|
---|---|
Authors: | Cifarelli, Giulio |
Institutions: | Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze |
Subject: | oil price dynamics | dynamic hedging | logistic smooth transition | multivariate GARCH |
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