淡江大學機構典藏:Item 987654321/103100
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/103100


    Title: The Cross Hedging Effectiveness of Oil Futures for Non-energy Commodities under Regime Switching
    Other Titles: 狀態轉換下原油期貨對 非能源商品的交叉避險績效
    Authors: 許和鈞;李沃牆;李享泰
    Contributors: 淡江大學財務金融學系
    Keywords: Markov Regime Switching;Random Coefficient Autoregressive Model;Cross Hedging;Crude Oil Futures;Non-energy Commodities
    Date: 2015-04-01
    Issue Date: 2015-05-18 21:22:46 (UTC+8)
    Publisher: 臺灣期貨交易所股份有限公司
    Abstract: 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.
    Relation: 期貨與選擇權學刊=Journal of Futures and Options 8(1)，頁41-84
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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