The DOI matches its Crossref record; 32 of the 32 references it cites were found in a registry or an index.
Crude oil hedging strategies using dynamic multivariate GARCH
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Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, S. (1991) · Econometrica · doi:10.2307/2938278 · Cited by 11,116
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Johansen, S. (1995) · doi:10.1093/0198774508.001.0001 · Cited by 5,315
Multivariate Simultaneous Generalized ARCH
Engle, R. F., & Kroner, K. F. (1995) · Econometric Theory · doi:10.1017/s0266466600009063 · Cited by 4,487
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
Bollerslev, T. (1990) · The Review of Economics and Statistics · doi:10.2307/2109358 · Cited by 3,512
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Bollerslev, T., & Wooldridge, J. M. (1992) · Econometric Reviews · doi:10.1080/07474939208800229 · Cited by 3,217
A Capital Asset Pricing Model with Time-Varying Covariances
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988) · Journal of Political Economy · doi:10.1086/261527 · Cited by 3,138
Metadata
- Authors
- Chang, C.-L., McAleer, M., & Tansuchat, R.
- Venue
- Energy Economics
- Publisher
- Elsevier BV
- Published
- 2011-09
- Volume
- 33
- Issue
- 5
- Pages
- 912-923
- ISSN
- 0140-9883 (ISSN-L)
- OpenAlex
- W3124242984
- Cited by
- 303
- References
- 32
- FWCI
- 30.26
- Type
- journal article
- Language
- en
- Open access
- closed
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- The paper
- Chang, C.-L., McAleer, M., & Tansuchat, R. (2011). Crude oil hedging strategies using dynamic multivariate GARCH. Energy Economics. https://doi.org/10.1016/j.eneco.2011.01.009
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
