Pure martingale and joint normality tests for energy futures contracts
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DOI: 10.1016/j.eneco.2017.02.005
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Citations
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Cited by:
- Dong, Kangyin & Dong, Xiucheng & Ren, Xiaohang, 2020. "Can expanding natural gas infrastructure mitigate CO2 emissions? Analysis of heterogeneous and mediation effects for China," Energy Economics, Elsevier, vol. 90(C).
- Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
- Yingying Xu & Donald Lien, 2020. "Optimal futures hedging for energy commodities: An application of the GAS model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1090-1108, July.
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More about this item
Keywords
Hedge ratio; Pure martingale; Joint normality;All these keywords.
JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- G1 - Financial Economics - - General Financial Markets
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
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