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.

引用

页码：472 / 484

页数：13

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