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Futures hedging effectiveness under the segmentation of bear/bull energy markets

  • Published:2010-03 Issue:2 Volume:32 Page:442-449
  • ISSN:0140-9883
  • Container-title:Energy Economics
  • language:en
  • Short-container-title:Energy Economics

Author:

Chang Chiao-Yi,Lai Jing-Yi,Chuang I-Yuan

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference51 articles.

1. Understanding the large negative impact of oil shocks;Aguiar-Conraria;Journal of Money, Credit and Banking,2007

2. Price movements in speculative markets: trend or random walk;Alexander;Industrial Management Review,1961

3. Price movements in speculative markets;Alexander;Industrial Management Review,1964

4. Bivariate GARCH estimation of the optimal commodity futures hedge;Baillie;Journal of Applied Econometrics,1991

5. Oil and macroeconomy since the 1970s;Barsky;Journal of Economics Perspectives,2004
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