教師資料查詢 | 類別: 期刊論文 | 教師: 高秀學 Kao, Hsiu-hsueh (瀏覽個人網頁)

標題:Minimum variance hedging with bivariate regime-switching model for WTI crude oil
學年99
學期2
出版(發表)日期2011/05/01
作品名稱Minimum variance hedging with bivariate regime-switching model for WTI crude oil
作品名稱(其他語言)
著者Hung, Jui-Cheng; Wang, Yi-Hsien; Chang, Matthew C.; Shih, Kuang-Hsun; Kao, Hsiu-Hsueh
單位淡江大學企業管理學系
出版者London: Elsevier Ltd
著錄名稱、卷期、頁數Energy 36(5), pp.3050–3057
摘要This paper proposes a four-regime bivariate Markov regime-switching model to estimate the daily time-varying minimum variance hedge ratios for West Texas Intermediate (WTI) crude oil, and evaluates its in- and out-of-sample hedging performances with two-regime model, CC-GARCH, TVC-GARCH, and OLS models. Empirical results reveal that the four-regime Markov switching model outperforms the other models for both in- and out-of-sample hedging performance. Based on Hansen’s SPA test (2005), the four-regime model significantly outperforms the other models for only in-sample hedging.
關鍵字Four-regime bivariate Markov switching model; TVC-GARCH; In- and out-of-sample hedging performances; SPA test
語言英文
ISSN0360-5442
期刊性質國外
收錄於SCI
產學合作
通訊作者
審稿制度
國別英國
公開徵稿
出版型式紙本
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