Hamma, Wajdi; Salhi, Bassem; Ghorbel, Ahmed; Jarboui, Anis - In: International Journal of Energy Sector Management 14 (2019) 2, pp. 439-467
Purpose: The purpose of this paper is to analyze the optimal hedging strategy of the oil-stock dependence structure. Design/methodology/approach: The methodology consists to model the data over the daily period spanning from January 02, 2002 to May 19, 2016 by a various copula functions to...