Hedging Petroleum Futures with Multivariate GARCH Models
This paper examined the petroleum futures volatility comovements and spillovers for crude oil, gasoline, heat oil and natural gas. The results of volatility analysis were used to calculate the optimal two-petroleum portfolio weights and hedging ratios. The data used in this study was the daily data...
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| Format: | Article |
| Language: | English |
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EconJournals
2015-03-01
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| Series: | International Journal of Energy Economics and Policy |
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| Online Access: | https://dergipark.org.tr/tr/pub/ijeeep/issue/31912/350868?publisher=http-www-cag-edu-tr-ilhan-ozturk |