期刊論文
| 學年 | 99 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2011-03-25 |
| 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 | Kao, Hsiu-hsueh; Hung, Jui-cheng |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Energy 36(5), p.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 | en |
| ISSN | 1873-6785 |
| 期刊性質 | 國外 |
| 收錄於 | SCI NotTSSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/126741 ) |