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- Behmiri, Niaz Bashiri & Manera, Matteo & Nicolini, Marcella, 2016. "Understanding Dynamic Conditional Correlations between Commodities Futures Markets," ESP: Energy Scenarios and Policy 232223, Fondazione Eni Enrico Mattei (FEEM).
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- Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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More about this item
Keywords
Multivariate GARCH; Dynamic Conditional Correlations; Future Markets; Commodities;All these keywords.
JEL classification:
- Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Statistics
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