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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2022
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| Materias: | |
| 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 |