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- W2007483387 abstract "This article examines the performance of three multivariate conditional volatility models with respect to crude oil spot and futures returns: the Dynamic Conditional Correlation (DCC) model, Asymmetric Dynamic Conditional Correlation (A-DCC) model and Diagonal Baba-Engle-Kraft-Kroner (Diagonal BEKK) model. Moreover, the article proposes using the time-varying optimal hedge ratio (OHR) to build a hedging strategy in the market, taking advantage of these multivariate conditional volatility models. We employ daily spot and futures data from the West Texas Intermediate (WTI) oil market from 3 January 2007 to 30 December 2011. Variance of portfolios and hedging effectiveness index show that the performance in terms of reducing variance is good in order of A-DCC, DCC and Diagonal-BEKK." @default.
- W2007483387 created "2016-06-24" @default.
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- W2007483387 date "2013-06-01" @default.
- W2007483387 modified "2023-09-25" @default.
- W2007483387 title "Crude oil hedging strategy: new evidence from the data of the financial crisis" @default.
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- W2007483387 doi "https://doi.org/10.1080/09603107.2013.788779" @default.
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