Ji, Qiang; Fan, Ying - In: Energy 36 (2011) 2, pp. 881-887
A multiproduct portfolio hedge ratio strategy for oil futures is investigated using a multivariate GARCH model based on … model and dynamic B-GARCH model are selected to compare with our model for hedge effectiveness. Comparison of hedge … estimate the time-varying optimal hedge ratios for the oil-cracking margin. In addition, a naïve strategy, a traditional OLS …