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Hedging crude oil using refined product: A regime switching asymmetric DCC approach

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  1. Imran Yousaf & Shoaib Ali, 2020. "Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
  2. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
  3. Tariq Aziz & Ranjeeta Sadhwani & Ume Habibah & Mazin A. M. Al Janabi, 2020. "Volatility Spillover Among Equity and Commodity Markets," SAGE Open, , vol. 10(2), pages 21582440209, May.
  4. Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
  5. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Ghardallou, Wafa & Umar, Zaghum, 2022. "Is greenness an optimal hedge for sectoral stock indices?," Economic Modelling, Elsevier, vol. 117(C).
  6. Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Syed Ali, 2018. "Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach," Resources Policy, Elsevier, vol. 57(C), pages 10-29.
  7. Indranil Ghosh & Manas K. Sanyal & R. K. Jana, 2021. "Co-movement and Dynamic Correlation of Financial and Energy Markets: An Integrated Framework of Nonlinear Dynamics, Wavelet Analysis and DCC-GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 503-527, February.
  8. Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
  9. Billah, Mabruk & Amar, Amine Ben & Balli, Faruk, 2023. "The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  10. Lee, Hsiang-Tai, 2022. "Regime-switching angular correlation diversification," Finance Research Letters, Elsevier, vol. 50(C).
  11. Dark, Jonathan, 2024. "An adaptive long memory conditional correlation model," Journal of Empirical Finance, Elsevier, vol. 75(C).
  12. Huang, Yi & Yi, Qun & Kang, Jing-Xian & Zhang, Ya-Gang & Li, Wen-Ying & Feng, Jie & Xie, Ke-Chang, 2019. "Investigation and optimization analysis on deployment of China coal chemical industry under carbon emission constraints," Applied Energy, Elsevier, vol. 254(C).
  13. Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," International Review of Financial Analysis, Elsevier, vol. 83(C).
  14. Xianling Ren & Xinping Yu, 2024. "Hedging performance analysis of energy markets: Evidence from copula quantile regression," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 432-450, March.
  15. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  16. Zhu, Pengfei & Lu, Tuantuan & Chen, Shenglan, 2022. "How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  17. Mariagrazia Fallanca & Antonio Fabio Forgione & Edoardo Otranto, 2021. "Do the Determinants of Non-Performing Loans Have a Different Effect over Time? A Conditional Correlation Approach," JRFM, MDPI, vol. 14(1), pages 1-15, January.
  18. Geng, Qianjie & Wang, Yudong, 2024. "Forecasting the volatility of crude oil basis: Univariate models versus multivariate models," Energy, Elsevier, vol. 295(C).
  19. Lee, Hsiang-Tai & Lee, Chien-Chiang, 2022. "A regime-switching real-time copula GARCH model for optimal futures hedging," International Review of Financial Analysis, Elsevier, vol. 84(C).
  20. Čech, František & Zítek, Michal, 2022. "Marine fuel hedging under the sulfur cap regulations," Energy Economics, Elsevier, vol. 113(C).
  21. Chkili, Walid, 2016. "Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries," Research in International Business and Finance, Elsevier, vol. 38(C), pages 22-34.
  22. Aleksander Olstad & George Filis & Stavros Degiannakis, 2021. "Oil and currency volatilities: Co‐movements and hedging opportunities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2351-2374, April.
  23. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
  24. Bai, Xiwen & Kavussanos, Manolis G., 2022. "Hedging IMO2020 compliant fuel price exposure using futures contracts," Energy Economics, Elsevier, vol. 110(C).
  25. Basher, Syed Abul & Sadorsky, Perry, 2016. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," Energy Economics, Elsevier, vol. 54(C), pages 235-247.
  26. Cotter, John & Hanly, Jim, 2015. "Performance of utility based hedges," Energy Economics, Elsevier, vol. 49(C), pages 718-726.
  27. Yousaf, Imran & Arfaoui, Nadia & Gubareva, Mariya, 2024. "Spillovers and hedging effectiveness between oil and US equity sectors: Evidence from the COVID pre- and post-vaccination phases," Research in International Business and Finance, Elsevier, vol. 69(C).
  28. Zhang, Yueling & Li, Junjie & Yang, Xiaoxiao, 2021. "Comprehensive competitiveness assessment of four coal-to-liquid routes and conventional oil refining route in China," Energy, Elsevier, vol. 235(C).
  29. Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
  30. Arfaoui, Nadia & Yousaf, Imran & Jareño, Francisco, 2023. "Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 617-634.
  31. Wajdi Hamma & Ahmed Ghorbel & Anis Jarboui, 2021. "Hedging Islamic and conventional stock markets with other financial assets: comparison between competing DCC models on hedging effectiveness," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 179-199, May.
  32. 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.
  33. Donald Lien & Hsiang‐Tai Lee & Her‐Jiun Sheu, 2018. "Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1514-1532, December.
  34. Yuki Toyoshima & Shigeyuki Hamori, 2018. "Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets," Energies, MDPI, vol. 11(11), pages 1-18, October.
  35. Akhtaruzzaman, Md & Boubaker, Sabri & Lucey, Brian M. & Sensoy, Ahmet, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Economic Modelling, Elsevier, vol. 102(C).
  36. Chen, Xiangyu & Tongurai, Jittima, 2021. "Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market," Global Finance Journal, Elsevier, vol. 49(C).
  37. Imran Yousaf & Elie Bouri & Shoaib Ali & Nehme Azoury, 2021. "Gold against Asian Stock Markets during the COVID-19 Outbreak," JRFM, MDPI, vol. 14(4), pages 1-23, April.
  38. Wen-Chung Hsu & Hsiang-Tai Lee, 2018. "Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk," IJFS, MDPI, vol. 6(2), pages 1-17, April.
  39. Hsiang‐Tai Lee, 2022. "A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 389-412, March.
  40. Chai, Shanglei & Zhou, P., 2018. "The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems," Energy Economics, Elsevier, vol. 76(C), pages 64-75.
  41. Raza, Naveed & Ali, Sajid & Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Salman, Aneel, 2019. "Can alternative hedging assets add value to Islamic-conventional portfolio mix: Evidence from MGARCH models," Resources Policy, Elsevier, vol. 61(C), pages 210-230.
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