The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
Year of publication: |
2012-01
|
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Authors: | Alexander, Carol ; Prokopczuk, Marcel ; Sumawon, Anannit |
Institutions: | Henley Business School, University of Reading |
Subject: | Hedging | Crack Spread | GARCH | Minimum-Variance Hedge |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number icma-dp2012-01 |
Classification: | G10 - General Financial Markets. General ; C52 - Model Evaluation and Testing ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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