教師資料查詢 | 類別: 期刊論文 | 教師: 李沃牆 Lee, Wo-chiang (瀏覽個人網頁)

標題:The Cross Hedging Effectiveness of Oil Futures for Non-energy Commodities under Regime Switching
學年103
學期2
出版(發表)日期2015/04/01
作品名稱The Cross Hedging Effectiveness of Oil Futures for Non-energy Commodities under Regime Switching
作品名稱(其他語言)狀態轉換下原油期貨對 非能源商品的交叉避險績效
著者許和鈞; 李沃牆; 李享泰
單位淡江大學財務金融學系
出版者臺北市臺灣期貨交易所
著錄名稱、卷期、頁數期貨與選擇權學刊=Journal of Futures and Options 8(1)頁41-84
摘要This paper suggests a cross hedging strategy for managing non-energy commodity price risk using both crude oil futures and corresponded non-energy commodity futures. We apply multiple random coefficient autoregressive Markov regime switching models (MRCARRS) for simultaneously estimating the optimal hedge ratios of crude oil futures and non-energy commodity futures. We also envision a more parsimonious partial switching version of MRCARRS (PRCARRS) for multiple futures hedging. Empirical results show that either MRCARRS or PRCARRS is the best performer for all commodities considered. According to the Diebold, Mariano and West (DMW) test statistics, the hedging performance of the multiple futures ordinary least square (MOLS) is statistically no worse than the single futures ordinary least square (OLS). This justifies the superiority of multiple futures hedging over single futures hedging. Moreover, all DMW statistics are positive for the best performer (MRCARRS or PRCARRS) over competing hedging strategies indicating that multivariate state-dependent RCARRS models have a tendency to outperform state-independent and static hedging models.
關鍵字
語言英文(美國)
ISSN
期刊性質國內
收錄於TSSCI;
產學合作
通訊作者李享泰
審稿制度
國別中華民國
公開徵稿Y
出版型式,紙本
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