Minimum variance hedging with bivariate regime-switching model for WTI crude oil

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題名:	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
貢獻者:	淡江大學企業管理學系
關鍵詞:	Four-regime bivariate Markov switching model;TVC-GARCH;In- and out-of-sample hedging performances;SPA test
日期:	2011-05
上傳時間:	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
顯示於類別:	[企業管理學系暨研究所] 期刊論文

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