A test of using markov-switching GARCH models in oil and natural gas trading

Article

Abstract: In this paper, we test the use of Markov-switching (MS) GARCH (MSGARCH) models for trading either oi

Palabras claves:

Active investment, Commodities, diversification, Energy futures, Energy price hedging, Institutional investors, Markov-switching, Markov-Switching GARCH, Portfolio Management

Autores:

Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.

Fuentes:

scopus