Hedging systematic risk in the commodity market with a regime-switching multivariate rotated generalized autoregressive conditional heteroskedasticity model-Reference-Cited by-同舟云学术

Hedging systematic risk in the commodity market with a regime-switching multivariate rotated generalized autoregressive conditional heteroskedasticity model

Published:2018-08-13 Issue:12 Volume:38 Page:1514-1532
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Lien Donald¹^ORCID,Lee Hsiang-Tai²^ORCID,Sheu Her-Jiun³

Affiliation:

1. Department of Economics; University of Texas; San Antonio Texas

2. Department of Banking and Finance; National Chi Nan University; Taiwan China

3. Department of Finance; Ming Chuan University; Taiwan China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21959/fullpdf

Reference54 articles.

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2. A regime switching approach for hedging tanker shipping freight rates;Alizadeh;Energy Economics,2015

3. A Markov regime switching approach for hedging energy commodities;Alizadeh;Journal of Banking and Finance,2008

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

5. Primary commodity prices: Co-movements, common factors and fundamentals;Byrne;Journal of Development Economics,2013

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