The (de)merits of minimum-variance hedging : application to the crack spread
Year of publication: |
2013
|
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Authors: | Alexander, Carol ; Prokopczuk, Marcel ; Sumawong, Anannit |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 36.2013, p. 698-707
|
Subject: | Hedging | Crack spread | GARCH | Minimum-variance hedge | Volatilität | Volatility | Zinsstruktur | Yield curve | ARCH-Modell | ARCH model | Derivat | Derivative |
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