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Modelling time-vaying conditionl correlations in the volatility of Tapus oil spot and forward returns
Manera, Matteo; McAleer, Michael; Grasso, Margherita - In: Applied financial economics 16 (2006) 7, pp. 525-533
Persistent link: https://www.econbiz.de/10003320406
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Hedging effectiveness and futures contract maturity : the case of NYMEX crude oil futures
Ripple, Ronald D.; Moosa, Imad A. - In: Applied financial economics 17 (2007) 7/9, pp. 683-689
Persistent link: https://www.econbiz.de/10003491216
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Trading futures spreads : an application of correlation and threshold filters
Dunis, C. L.; Laws, Jason; Evans, Ben - In: Applied financial economics 16 (2006) 12, pp. 903-914
Persistent link: https://www.econbiz.de/10003377844
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A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
Lee, Hsiang-tai; Yoder, Jonathan K. - In: Applied economics 39 (2007) 10/12, pp. 1253-1265
Persistent link: https://www.econbiz.de/10003511726
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Estimating optimal hedge ratio : a multivariate skew-normal distribution approach
Lien, Da-hsiang Donald; Shrestha, Keshab - In: Applied financial economics 20 (2010) 7/9, pp. 627-636
Persistent link: https://www.econbiz.de/10009009324
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Testing for weak-form efficiency of crude palm oil spot and future markets : new evidence from a GARCH unit root test with multiple structural breaks
Hooi Hooi Lean; Smyth, Russell - In: Applied economics 47 (2015) 16/18, pp. 1710-1721
Persistent link: https://www.econbiz.de/10010511983
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Efficiency and unbiasedness of corn futures markets : new evidence across the financial crisis
Pederzoli, C.; Torricelli, Costanza - In: Applied financial economics 23 (2013) 22/24, pp. 1853-1863
Persistent link: https://www.econbiz.de/10010337258
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Market volatility and the dynamic hedging of multi-commodity price risk
Power, Gabriel J.; Vedenov, Dmitry V.; Anderson, David P.; … - In: Applied economics 45 (2013) 25/27, pp. 3891-3903
Persistent link: https://www.econbiz.de/10010345840
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Returns to individual traders in agricultural futures markets : skill or luck?
Aulerich, Nicole M.; Irwin, Scott H.; García, Philip - In: Applied economics 45 (2013) 25/27, pp. 3650-3666
Persistent link: https://www.econbiz.de/10010345884
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Testing the efficiency of the futures market for crude oil in the presence of a structural break
Stevens, Jason; Lamirande, P. de - In: Applied economics 46 (2014) 31/33, pp. 4053-4059
Persistent link: https://www.econbiz.de/10010421854