TY  - RPRT
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
AU  - Wang, Yanghuiting
PY  - 2016
SN  - 2255-5471
UR  - https://hdl.handle.net/20.500.14352/27577
AB  - There is substantial empirical evidence that energy and financial markets are closely connected. As one of the most widely-used energy resources worldwide, natural gas has a large daily trading volume. In order to hedge the risk of natural gas spot...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Energy
KW  - Natural gas
KW  - Spot
KW  - Futures
KW  - ETF
KW  - NYMEX
KW  - ICE
KW  - Optimal hedging strategy
KW  - Covolatility spillovers
KW  - Diagonal BEKK.
TI  - Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances
TY  - technical report
VL  - 2016
ER  -