Impact of Contagion on Proxy-Hedging in Jet-Fuel Markets

Dominique Guegan, Marius-Cristian Frunza and Rostislav Haliplii

Chapter 11 in Risk Factors and Contagion in Commodity Markets and Stocks Markets, 2020, pp 291-322 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionEconometric Modeling of the Singapore Jet-Fuel and Related Oil DistillatesProxy-HedgingForecasting DensitiesBacktesting Results of Proxy-HedgingConclusionsAppendix AReferences

Keywords: Risk; Commodity; Commodity Markets; Stock; Risk Contagion; Contagion; Volatility (search for similar items in EconPapers)
JEL-codes: F3 G1 Q43 (search for similar items in EconPapers)
Date: 2020
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