Browsing 03 Faculty of Business and Economics by Subject "Quantile-on-Quantile Approach"

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Hedge Ratio Variation under Different Energy Market Conditions: New Evidence by Using Quantile-Quantile Approach

Barati, Karim (Eastern Mediterranean University (EMU) - Doğu Akdeniz Üniversitesi (DAÜ), 2020)

In this research, the optimal hedge ratio (OHR) for crude oil, natural gas, and gasoline spot and futures prices were examined by using the recently developed quantile on quantile (QQ) approach (Sim and Zhou, 2015). Compared ...