Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Managerial and Financial Accounting 4 (2012) 1, pp. 1-28
The goal of this paper is to evaluate the hedging strategies performance of a range of copula and traditional methods for three spot and futures oil markets: WTI crude oil, propane and heating oil. Our contribution is two-fold. First, we model dependence structure between spot and futures oil...