Hedging crude oil using refined product: A regime switching asymmetric DCC approach

Zhiyuan Pan, Yudong Wang and Li Yang ()

Energy Economics, 2014, vol. 46, issue C, 472-484

Abstract: In this paper, we explore the strategy on hedging crude oil using refined product. We develop a regime switching asymmetric DCC (RS-ADCC) model by taking into account both of regime switching and asymmetry in correlations. Our out-of-sample findings indicate that RS-ADCC displays greater hedging effectiveness than some conventional multivariate GARCH. Heating oil can better hedge crude oil than gasoline.

Keywords: Crude oil; Regime switching; Asymmetry; Hedging (search for similar items in EconPapers)
JEL-codes: C22 C32 G17 G32 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (46)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:46:y:2014:i:c:p:472-484

DOI: 10.1016/j.eneco.2014.05.014

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