Shanghai crude oil futures: Returns Independence, volatility asymmetry, and hedging potential
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DOI: 10.1016/j.eneco.2023.107110
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More about this item
Keywords
SCOF; WTI; Brent; Volatility dynamics; Crude oil futures;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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