English  |  正體中文  |  简体中文  |  Items with full text/Total items : 43312/67235
Visitors : 2028117      Online Users : 3
RC Version 5.0 © Powered By DSPACE, MIT. Enhanced by NTU/NCHU Library IR team.

Please use this identifier to cite or link to this item: http://nchuir.lib.nchu.edu.tw/handle/309270000/126007

標題: Crude oil hedging strategies using dynamic multivariate GARCH
作者: Chang, Chia-Lin;McAleer, Michael;Tansuchat, Roengchai
Contributors: 國立中興大學應用經濟學系
National Chung Hsing University,Department of Applied Economics
Miao-zhen Luo
關鍵字: Multivariate GARCH;Conditional correlations;Crude oil prices;Optimal;hedge ratio;Optimal portfolio weights;Hedging strategies;autoregressive conditional heteroskedasticity;futures;market-efficiency;cointegration vectors;generalized arch;volatility;models
日期: 2011-9
Issue Date: 2012-10-19 14:40:33 (UTC+8)
摘要: The paper examines the performance of several multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and diagonal BERK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and to suggest a crude oil hedge strategy. The empirical results show that the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger proportions than spot. For WTI, however, DCC, BM and diagonal BEKK suggest holding crude oil futures to spot, but CCC and VARMA-GARCH suggest holding crude oil spot to futures. In addition, the calculated optimal hedge ratios (OHRs) from each multivariate conditional volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one dollar long in crude oil spot. Finally, the hedging effectiveness indicates that diagonal BEKK (BEKK) is the best (worst) model for OHR calculation in terms of reducing the variance of the portfolio. (C) 2011 Elsevier B.V. All rights reserved.
Relation: Energy Economics, Volume 33, Issue 5, Page(s) 912-923.
Appears in Collections:[依資料類型分類] 期刊論文
[依教師分類] 張嘉玲

loading Web of Knowledge data....

Files in This Item:

There are no files associated with this item.



 


學術資源

著作權聲明

本網站為收錄中興大學學術著作及學術產出,已積極向著作權人取得全文授權,並盡力防止侵害著作權人之權益。如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員,將盡速為您處理。

本網站之數位內容為國立中興大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用。

聯絡網站維護人員:wyhuang@nchu.edu.tw,04-22840290 # 412。

DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU/NCHU Library IR team Copyright ©   - Feedback