数据加载中.....
|
jsp.display-item.identifier=請使用永久網址來引用或連結此文件:
https://irlib.pccu.edu.tw/handle/987654321/24050
|
| 题名: | Minimum variance hedging with bivariate regime-switching model for WTI crude oil |
| 作者: | Hung, JC (Hung, Jui-Cheng)
Wang, YH (Wang, Yi-Hsien)
Chang, MC (Chang, Matthew C.)
Shih, KH (Shih, Kuang-Hsun)
Kao, HH (Kao, Hsiu-Hsueh) |
| 贡献者: | Dept Banking & Finance |
| 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: | 2013-01-18 15:28:06 (UTC+8) |
| 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. (C) 2011 Elsevier Ltd. All rights reserved. |
| 關聯: | ENERGY Volume: 36 Issue: 5 Pages: 3050-3057 |
| 显示于类别: | [財務金融學系 ] 期刊論文
|
文件中的档案:
| 档案 |
描述 |
大小 | 格式 | 浏览次数 |
|---|
| index.html | | 0Kb | HTML | 411 | 检视/开启 |
|
在CCUR中所有的数据项都受到原著作权保护.
|
