Markov switching GARCH models for Bayesian hedging on energy futures markets-Reference-Cited by-同舟云学术

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Markov switching GARCH models for Bayesian hedging on energy futures markets

Published:2018-02 Issue: Volume:70 Page:545-562
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Billio Monica,Casarin Roberto,Osuntuyi Anthony

Funder

European Union

Institut Europlace of Finance

Global Risk Institute in Financial Services

Louis Bachelier Institute

MIUR

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference48 articles.

1. Hedging emerging market stock prices with oil, gold, VIX, and bonds: a comparison between DCC, ADCC and GO-GARCH;Abul-Bashera;Energy Econ.,2016

2. A Markov regime switching approach for hedging stock indices;Alizadeh;J. Futur. Mark.,2004

3. A Markov regime switching approach for hedging energy commodities;Alizadeh;J. Bank. Financ.,2008

4. Bayesian-optimal design via interacting particle systems;Amzal;J. Am. Stat. Assoc.,2006

5. Maximum likelihood estimation of the Markov-switching GARCH model;Augustyniak;Comput. Stat. Data Anal.,2014

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