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market index price, and the US oil and gas sub-sector indices. We also explore the out-of-sample hedging performance of a … hedging strategy by minimizing the conditional Value-at-Risk of the hedged portfolios composed with sub-sector index and … futures contract after estimating the time-varying parameters of copulas. We compare the hedging effectiveness of this …
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the former but not the latter explanation. -- Petroleum Economics ; Stochastic Dynamic Optimization …
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