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- W2019023015 abstract "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." @default.
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- W2019023015 date "2014-11-01" @default.
- W2019023015 modified "2023-10-14" @default.
- W2019023015 title "Hedging crude oil using refined product: A regime switching asymmetric DCC approach" @default.
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- W2019023015 doi "https://doi.org/10.1016/j.eneco.2014.05.014" @default.
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