메뉴 건너뛰기




Volumn 32, Issue 9, 2008, Pages 1970-1983

A Markov regime switching approach for hedging energy commodities

Author keywords

Commodity markets; Dynamic hedging; Futures markets hedging; Markov regime switching models

Indexed keywords


EID: 48749090546     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.12.020     Document Type: Article
Times cited : (156)

References (45)
  • 1
    • 2942563796 scopus 로고    scopus 로고
    • A Markov regime switching approach for hedging stock indices
    • Alizadeh A.H., and Nomikos N. A Markov regime switching approach for hedging stock indices. The Journal of Futures Markets 24 (2004) 649-674
    • (2004) The Journal of Futures Markets , vol.24 , pp. 649-674
    • Alizadeh, A.H.1    Nomikos, N.2
  • 2
    • 0005880209 scopus 로고    scopus 로고
    • Answering the sceptics: yes, standard volatility models do provide accurate forecasts
    • Andersen T.G., and Bollerslev T. Answering the sceptics: yes, standard volatility models do provide accurate forecasts. International Economic Review 39 (1998) 885-905
    • (1998) International Economic Review , vol.39 , pp. 885-905
    • Andersen, T.G.1    Bollerslev, T.2
  • 3
    • 48749111161 scopus 로고    scopus 로고
    • Baba, Y., Engle, R., Kraft, D., Kroner, K., 1987. Multivariate Simultaneous Generalized ARCH. University of California, San Diego, unpublished manuscript.
    • Baba, Y., Engle, R., Kraft, D., Kroner, K., 1987. Multivariate Simultaneous Generalized ARCH. University of California, San Diego, unpublished manuscript.
  • 4
    • 42449156579 scopus 로고
    • Generalised autoregressive conditional heteroscedasticity
    • Bollerslev T. Generalised autoregressive conditional heteroscedasticity. Journal of Econometrics 31 (1986) 307-327
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 6
    • 35548931351 scopus 로고
    • Efficient tests for normality, heteroscedasticity, and serial dependence of regression residuals
    • Bera A., and Jarque C. Efficient tests for normality, heteroscedasticity, and serial dependence of regression residuals. Economic Letters 6 (1980) 255-259
    • (1980) Economic Letters , vol.6 , pp. 255-259
    • Bera, A.1    Jarque, C.2
  • 8
    • 0000246426 scopus 로고    scopus 로고
    • Hedging with the Nikkei index futures: the conventional versus the error correction model
    • Chou W., Denis K., and Lee C. Hedging with the Nikkei index futures: the conventional versus the error correction model. The Quarterly Review of Economics and Finance 36 (1996) 495-505
    • (1996) The Quarterly Review of Economics and Finance , vol.36 , pp. 495-505
    • Chou, W.1    Denis, K.2    Lee, C.3
  • 9
    • 0031492875 scopus 로고    scopus 로고
    • Short run deviations and volatility in spot and futures stock returns: evidence from Australia, Hong Kong, and Japan
    • Choudhry T. Short run deviations and volatility in spot and futures stock returns: evidence from Australia, Hong Kong, and Japan. The Journal of Futures Markets 17 (1997) 689-705
    • (1997) The Journal of Futures Markets , vol.17 , pp. 689-705
    • Choudhry, T.1
  • 11
    • 0031542612 scopus 로고    scopus 로고
    • Markov switching in GARCH processes and mean reverting stock market volatility
    • Dueker M.J. Markov switching in GARCH processes and mean reverting stock market volatility. Journal of Business and Economic Statistics 15 (1997) 26-34
    • (1997) Journal of Business and Economic Statistics , vol.15 , pp. 26-34
    • Dueker, M.J.1
  • 12
    • 84977354474 scopus 로고
    • The hedging performance of the new futures markets
    • Ederington L.H. The hedging performance of the new futures markets. The Journal of Finance 34 (1979) 157-170
    • (1979) The Journal of Finance , vol.34 , pp. 157-170
    • Ederington, L.H.1
  • 13
    • 38149147790 scopus 로고
    • Can the Markov switching model forecast exchange rates?
    • Engle C. Can the Markov switching model forecast exchange rates?. Journal of International Economics 36 (1994) 151-165
    • (1994) Journal of International Economics , vol.36 , pp. 151-165
    • Engle, C.1
  • 14
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation
    • Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation. Econometrica 50 (1982) 987-1008
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 15
    • 0000013567 scopus 로고
    • Cointegration and error correction: representation, estimation, and testing
    • Engle R.F., and Granger C.W. Cointegration and error correction: representation, estimation, and testing. Econometrica 55 (1987) 251-276
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.2
  • 16
    • 84974122247 scopus 로고
    • Multivariate simultaneous generalized ARCH
    • Engle R.F., and Kroner K.F. Multivariate simultaneous generalized ARCH. Econometric Theory 11 (1995) 122-150
    • (1995) Econometric Theory , vol.11 , pp. 122-150
    • Engle, R.F.1    Kroner, K.F.2
  • 17
    • 0036139323 scopus 로고    scopus 로고
    • A Markov switching model of the conditional volatility of crude oil prices
    • Fong W.M., and See K.H. A Markov switching model of the conditional volatility of crude oil prices. Energy Economics 35 (2002) 71-95
    • (2002) Energy Economics , vol.35 , pp. 71-95
    • Fong, W.M.1    See, K.H.2
  • 18
    • 0742306194 scopus 로고    scopus 로고
    • Basis variations and regime-shifts in the oil futures market
    • Fong W.M., and See K.H. Basis variations and regime-shifts in the oil futures market. The European Journal of Finance 9 (2003) 499-513
    • (2003) The European Journal of Finance , vol.9 , pp. 499-513
    • Fong, W.M.1    See, K.H.2
  • 19
    • 0030242133 scopus 로고    scopus 로고
    • Modelling the conditional distribution of interest rates as regime switching process
    • Gray S.F. Modelling the conditional distribution of interest rates as regime switching process. Journal of Financial Economics 42 (1996) 27-62
    • (1996) Journal of Financial Economics , vol.42 , pp. 27-62
    • Gray, S.F.1
  • 20
    • 84978601031 scopus 로고
    • Hedging with stock index futures: estimation and forecasting with error correction model
    • Ghosh A. Hedging with stock index futures: estimation and forecasting with error correction model. The Journal of Futures Markets 13 (1993) 743-752
    • (1993) The Journal of Futures Markets , vol.13 , pp. 743-752
    • Ghosh, A.1
  • 22
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and business cycle
    • Hamilton J.D. A new approach to the economic analysis of nonstationary time series and business cycle. Econometrica 57 (1989) 357-384
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 23
    • 0003410290 scopus 로고
    • Princeston University Press, Princeston, NJ
    • Hamilton J.D. Time Series Analysis (1994), Princeston University Press, Princeston, NJ
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 24
    • 21144448250 scopus 로고
    • Autoregressive conditional heteroscedasticity and changes in regime
    • Hamilton J.D., and Susmel. Autoregressive conditional heteroscedasticity and changes in regime. Journal of Econometrics 64 (1994) 307-333
    • (1994) Journal of Econometrics , vol.64 , pp. 307-333
    • Hamilton, J.D.1    Susmel2
  • 27
    • 48749090607 scopus 로고    scopus 로고
    • Krolzig, H.M., 1999. Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts. Department of Economics, University of Oxford, unpublished manuscript.
    • Krolzig, H.M., 1999. Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts. Department of Economics, University of Oxford, unpublished manuscript.
  • 28
    • 84971942651 scopus 로고
    • Time-varying distributions and dynamic hedging with foreign currency futures
    • Kroner K., and Sultan J. Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis 28 (1993) 535-551
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , pp. 535-551
    • Kroner, K.1    Sultan, J.2
  • 29
    • 0037729185 scopus 로고    scopus 로고
    • Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futuresmarket
    • Lafuente J., and Novales A. Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futuresmarket. Journal of Banking & Finance 27 (2003) 1053-1078
    • (2003) Journal of Banking & Finance , vol.27 , pp. 1053-1078
    • Lafuente, J.1    Novales, A.2
  • 31
    • 34447312834 scopus 로고    scopus 로고
    • A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratio
    • Lee H., and Yoder J.K. A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratio. Applied Economics 39 10 (2007) 1253-1265
    • (2007) Applied Economics , vol.39 , Issue.10 , pp. 1253-1265
    • Lee, H.1    Yoder, J.K.2
  • 32
    • 34247495425 scopus 로고    scopus 로고
    • Optimal hedging with a regime-switching time-varying correlation GARCH model
    • Lee H., and Yoder J.K. Optimal hedging with a regime-switching time-varying correlation GARCH model. Journal of Futures Markets 27 5 (2007) 495-516
    • (2007) Journal of Futures Markets , vol.27 , Issue.5 , pp. 495-516
    • Lee, H.1    Yoder, J.K.2
  • 33
    • 48749091691 scopus 로고
    • Spread and volatility in spot and forward exchange rates
    • Lee T. Spread and volatility in spot and forward exchange rates. Journal of Business & Economic Statistics 8 (1994) 375-383
    • (1994) Journal of Business & Economic Statistics , vol.8 , pp. 375-383
    • Lee, T.1
  • 34
    • 0030524637 scopus 로고    scopus 로고
    • The effect of the cointegration relationship on futures hedging: a note
    • Lien D. The effect of the cointegration relationship on futures hedging: a note. Journal of Futures Markets 16 (1996) 773-780
    • (1996) Journal of Futures Markets , vol.16 , pp. 773-780
    • Lien, D.1
  • 35
    • 0036074542 scopus 로고    scopus 로고
    • Some recent developments in futures hedging
    • Lien D., and Tse Y.K. Some recent developments in futures hedging. Journal of Economic Surveys 16 3 (2002) 357-396
    • (2002) Journal of Economic Surveys , vol.16 , Issue.3 , pp. 357-396
    • Lien, D.1    Tse, Y.K.2
  • 36
    • 0017846358 scopus 로고
    • On a measure of lack of fit in time series models
    • Ljung M., and Box G. On a measure of lack of fit in time series models. Biometrika 65 (1978) 297-303
    • (1978) Biometrika , vol.65 , pp. 297-303
    • Ljung, M.1    Box, G.2
  • 37
    • 0009955839 scopus 로고    scopus 로고
    • High frequency Markov switching models in the foreign exchange market
    • Marsh I.W. High frequency Markov switching models in the foreign exchange market. Journal of Forecasting 19 (2000) 123-134
    • (2000) Journal of Forecasting , vol.19 , pp. 123-134
    • Marsh, I.W.1
  • 38
    • 0000631178 scopus 로고
    • A note with the quantiles of the asymptotic distribution of the ML cointegration rank test statistics
    • Osterwald-Lenum M. A note with the quantiles of the asymptotic distribution of the ML cointegration rank test statistics. Oxford Bulletin of Economics and Statistics 54 (1992) 461-472
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-472
    • Osterwald-Lenum, M.1
  • 39
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regressions
    • Phillips P., and Perron P. Testing for a unit root in time series regressions. Biometrika 75 (1988) 335-346
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.1    Perron, P.2
  • 41
    • 0034398027 scopus 로고    scopus 로고
    • The cost of carry model and regime shifts in stock index futures markets; An empirical investigation
    • Sarno L., and Valente G. The cost of carry model and regime shifts in stock index futures markets; An empirical investigation. The Journal of Futures Markets 20 (2000) 603-624
    • (2000) The Journal of Futures Markets , vol.20 , pp. 603-624
    • Sarno, L.1    Valente, G.2
  • 42
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • Schwartz G. Estimating the dimension of a model. Annals of Statistics 6 (1978) 461-464
    • (1978) Annals of Statistics , vol.6 , pp. 461-464
    • Schwartz, G.1
  • 43
    • 0005865794 scopus 로고    scopus 로고
    • Data-snooping, technical trading rule performance, and the bootstrap
    • Sullivan R., Timmermann A., and White H. Data-snooping, technical trading rule performance, and the bootstrap. Journal of Finance 54 5 (1999) 1647-1691
    • (1999) Journal of Finance , vol.54 , Issue.5 , pp. 1647-1691
    • Sullivan, R.1    Timmermann, A.2    White, H.3
  • 44
    • 0000028873 scopus 로고    scopus 로고
    • A reality check for data snooping
    • White H. A reality check for data snooping. Econometrica 68 (2000) 1097-1126
    • (2000) Econometrica , vol.68 , pp. 1097-1126
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.