How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method

In the current paper, we investigate the problem of how do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak. Specifically, given that noise, conditional higher moments and asymmetric tail dependence may exist in crude oil markets, a Wavelet denoising-GARCHSK-SJC Copula hedge r...

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Detalles Bibliográficos
Autores principales: Zhu, Pengfei, Lu, Tuantuan, Chen, Shenglan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9514962/
https://www.ncbi.nlm.nih.gov/pubmed/36187304
http://dx.doi.org/10.1016/j.physa.2022.128217

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9514962/
https://www.ncbi.nlm.nih.gov/pubmed/36187304
http://dx.doi.org/10.1016/j.physa.2022.128217

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