{"created":"2021-03-01T07:02:48.300946+00:00","id":42860,"links":{},"metadata":{"_buckets":{"deposit":"ac59ae88-bb99-4d2c-87fc-4e2b03411c4e"},"_deposit":{"id":"42860","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42860"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042860","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-01","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-704","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf704ab.html","subitem_relation_type_select":"URI"}}]},"item_8_relation_29":{"attribute_name":"異版あり","attribute_value_mlt":[{"subitem_relation_type":"hasVersion","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://doi.org/10.1016/j.eneco.2011.01.009","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Faculty of Economics Maejo University, Thailand"},{"subitem_text_value":"Department of Applied Economics National Chung Hsing University, Taiwan"},{"subitem_text_value":"Econometrics Institute Erasmus School of Economics Erasmus University Rotterdam"},{"subitem_text_value":"Tinbergen Institute The Netherlands"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Tansuchat, Roengchai"}],"nameIdentifiers":[{"nameIdentifier":"98532","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Chang, Chia-Lin"}],"nameIdentifiers":[{"nameIdentifier":"98533","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"98534","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Multivariate GARCH","subitem_subject_scheme":"Other"},{"subitem_subject":"conditional correlations","subitem_subject_scheme":"Other"},{"subitem_subject":"crude oil prices","subitem_subject_scheme":"Other"},{"subitem_subject":"optimal hedge ratio","subitem_subject_scheme":"Other"},{"subitem_subject":"optimal portfolio weights","subitem_subject_scheme":"Other"},{"subitem_subject":"hedging strategies","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classifications: C22, C32, G11, G17, G32","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42860","relation_version_is_last":true,"title":["Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.197595+00:00"}