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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
http://hdl.handle.net/2261/33414
http://hdl.handle.net/2261/3341460c8c13b-4e32-467f-82f4-18feb5cb7cf7
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Multivariate GARCH | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | conditional correlations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | crude oil prices | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | optimal hedge ratio | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | optimal portfolio weights | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | hedging strategies | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classifications: C22, C32, G11, G17, G32 | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Tansuchat, Roengchai
× Tansuchat, Roengchai× Chang, Chia-Lin× McAleer, Michael |
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| 著者所属 | ||||||
| 値 | Faculty of Economics Maejo University, Thailand | |||||
| 著者所属 | ||||||
| 値 | Department of Applied Economics National Chung Hsing University, Taiwan | |||||
| 著者所属 | ||||||
| 値 | Econometrics Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 値 | Tinbergen Institute The Netherlands | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, 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 and 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 DCC (BEKK) is the best (worst) model for OHR calculation in terms of reducing the variance of the portfolio. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-704, 発行日 2010-01 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | Center for International Research on the Japanese Economy | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf704ab.html | |||||
| 異版あり | ||||||
| 関連タイプ | hasVersion | |||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://doi.org/10.1016/j.eneco.2011.01.009 | |||||
