Minimum variance hedging with bivariate regime-switching model for WTI crude oil
學年 99
學期 2
出版（發表）日期 2011-03-25
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