A Markov regime switching approach for hedging energy commodities

201 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The dynamics of commodity prices (2013, background): “Asgharian and Bengtsson (2006) use this class of models to study the cross-market dependencies of various equity index markets. Compared to this array of research on equity markets, state-of-the-art empirical studies on commodity markets are sparse. Of the few examples there are of such studies, Bre”
Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2012, unknown): “[23] in the same research area.”
Markov switching GARCH models for Bayesian hedging on energy futures markets (2013, unknown): “In line with the first approach of estimating time-varying hedge ratios, Alizadeh et al. [2008], Lee and Yoder [2007a], Lee and Yoder [2007b] among others propose various regime switching models.”