scientific article; zbMATH DE number 7255562

zbMath1463.35286MaRDI QIDQ5125149

O. Rossarin, S. Worrawat, Y. Woraphon, A. Kittawit

Publication date: 5 October 2020

Full work available at URL: http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/3901

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

hedgingMarkov switchingnatural gascrude oil

Mathematics Subject Classification ID

Heat equation (35K05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
• Generalized autoregressive conditional heteroscedasticity
• Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies

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