Hedging crude oil using refined product: A regime switching asymmetric DCC approach
Yudong Wang and
Li Yang ()
Energy Economics, 2014, vol. 46, issue C, 472-484
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:46:y:2014:i:c:p:472-484
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