首页> 外文期刊>Energy economics >Markov switching GARCH models for Bayesian hedging on energy futures markets
【24h】

Markov switching GARCH models for Bayesian hedging on energy futures markets

机译:马尔可夫转换GARCH模型用于能源期货市场的贝叶斯对冲

获取原文
获取原文并翻译 | 示例
获取外文期刊封面目录资料

摘要

Effective hedging strategies on oil spot and future markets are relevant in reducing price volatility for investors, energy traders and companies operating in the oil markets. A new Bayesian multi-chain Markov-switching GARCH model for dynamic hedging in energy futures markets is developed. It builds on the construction of a system of simultaneous equations for the return dynamics on the hedged portfolio and the futures. The implication of our model for portfolios allocation and energy trading are manyfold. First, our formulation allows for an easy identification of the different states of the discrete processes as volatility regimes. Secondly, the use of regime-switching models with multiple chains allows for an effective way to reduce risk. Furthermore, correlated chains are more flexible than single chain models since they account for co-movement in the volatility regimes of different markets thus they should be preferred in turbulent periods (e.g. financial crisis). Finally, the combination of the expected utility framework with the regime switching structure allows us to define a robust minimum variance hedging strategy. Changes in the optimal hedging strategies before and after the financial crisis are evidenced when the proposed robust hedging strategy is applied to crude oil spot and futures markets. It is therefore recommended that many and different models should be used in place of a single one in energy risk hedging since they could perform differently in various phases of the market. (C) 2017 Elsevier B.V. All rights reserved.
机译:石油现货市场和未来市场的有效对冲策略对于减少投资者,能源交易商和在石油市场上经营的公司的价格波动具有重要意义。开发了一种新的用于能源期货市场动态对冲的贝叶斯多链马尔可夫转换GARCH模型。它建立在对冲投资组合和期货的收益动态联立方程组的系统上。我们的模型对投资组合分配和能源交易的影响是多重的。首先,我们的公式允许轻松地将离散过程的不同状态识别为波动性制度。其次,使用多链体制转换模型可以有效地降低风险。此外,相关链比单链模型更灵活,因为它们考虑了不同市场的波动机制中的共同移动,因此在动荡时期(例如金融危机)应首选关联链。最后,预期效用框架与制度转换结构的结合使我们能够定义一个健壮的最小方差对冲策略。当将建议的稳健对冲策略应用于原油现货和期货市场时,可以证明金融危机前后最佳对冲策略的变化。因此,建议在能源风险对冲中使用许多不同的模型来代替一个模型,因为它们在市场的各个阶段可能表现不同。 (C)2017 Elsevier B.V.保留所有权利。

著录项

  • 来源
    《Energy economics》 |2018年第2期|545-562|共18页
  • 作者单位

    Univ Ca Foscari Venice, Dept Econ, Fondamenta San Giobbe 873, I-30121 Venice, Italy;

    Univ Ca Foscari Venice, Dept Econ, Fondamenta San Giobbe 873, I-30121 Venice, Italy;

    Univ Ca Foscari Venice, Dept Econ, Fondamenta San Giobbe 873, I-30121 Venice, Italy;

  • 收录信息 美国《科学引文索引》(SCI);美国《工程索引》(EI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Energy futures; GARCH; Hedge ratio; Markov-switching;

    机译:能源期货;GARCH;对冲比率;马尔可夫切换;

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱:kefu@zhangqiaokeyan.com

京公网安备:11010802029741号 ICP备案号:京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有
  • 客服微信

  • 服务号