commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …-Maximum Likelihood Estimates (QMLE) of a full BEKK matrix, which is typically estimated in examining volatility spillover effects, has no … theory and practice in testing for volatility spillovers between energy and agricultural markets using the multivariate BEKK …

conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi …-Maximum Likelihood Estimates (QMLE) of a full BEKK matrix, which is typically estimated in examining volatility spillover effects, has no … theory and practice in testing for volatility spillovers between energy and agricultural markets using the multivariate BEKK …

sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility … research, which needs to be corrected. The paper not only considers futures prices as a widely-used hedging instrument, but … also takes an interesting new hedging instrument, ETF, into account. ETF is regarded as index futures when investors manage …

sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility … research, which needs to be corrected. The paper not only considers futures prices as a widely-used hedging instrument, but … also takes an interesting new hedging instrument, ETF, into account. ETF is regarded as index futures when investors manage …

gas spot markets, a large number of hedging strategies can be used, especially with the rapid development of natural gas … derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF … aspect of constructing optimal dynamic hedging strategies. The paper tests and calculates spillover effects among natural gas …

financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, from which … results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and associated …

dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … proportions than spot. For WTI, however, DCC and BEKK suggest holding crude oil futures to spot, but CCC and VARMA-GARCH suggest …