淡江大學機構典藏:Item 987654321/55144
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    题名: Minimum variance hedging with bivariate regime-switching model for WTI crude oil
    作者: Hung, Jui-Cheng;Wang, Yi-Hsien;Chang, Matthew C.;Shih, Kuang-Hsun;Kao, Hsiu-Hsueh
    贡献者: 淡江大學企業管理學系
    关键词: Four-regime bivariate Markov switching model;TVC-GARCH;In- and out-of-sample hedging performances;SPA test
    日期: 2011-05
    上传时间: 2011-08-17 15:10:15 (UTC+8)
    出版者: London: Elsevier Ltd
    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.
    關聯: Energy 36(5), pp.3050–3057
    DOI: 10.1016/j.energy.2011.02.049
    显示于类别:[企業管理學系暨研究所] 期刊論文

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