Hedging crude oil using refined product: A regime switching asymmetric DCC approach

被引：59
作者：
Pan, Zhiyuan [1 ]
Wang, Yudong [1 ]
Yang, Li [2 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China
[2] Univ New S Wales, Sch Banking & Finance, Sydney, NSW 2052, Australia
来源：
ENERGY ECONOMICS | 2014年 / 46卷
基金：
中国国家自然科学基金;
关键词：
Crude oil; Regime switching; Asymmetry; Hedging; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; TIME-SERIES; GARCH MODELS; MULTIVARIATE; PRICES; DIVERSIFICATION; PERFORMANCE; ESTIMATORS; VARIANCE; RETURNS;
D O I：
10.1016/j.eneco.2014.05.014
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we explore the strategy on hedging crude oil using refined product. We develop a regime switching asymmetric DCC (RS-ADCC) model by taking into account both of regime switching and asymmetry in correlations. Our out-of-sample findings indicate that RS-ADCC displays greater hedging effectiveness than some conventional multivariate GARCH. Heating oil can better hedge crude oil than gasoline. (c) 2014 Elsevier B.V. All rights reserved.
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页码：472 / 484
页数：13
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