跳到主要內容

臺灣博碩士論文加值系統

(18.97.9.172) 您好!臺灣時間:2025/02/16 19:35
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:劉彥珍
研究生(外文):Yen-Chen Liu
論文名稱:期貨避險方法的比較--時間序列模型與非線性方法
論文名稱(外文):A Comparison of Futures Hedging--Time Series Approach and Nonlinear Time-Projection Method
指導教授:陳安行陳安行引用關係
指導教授(外文):An-Sing Chen
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:94
語文別:英文
論文頁數:31
中文關鍵詞:交易成本非線性方法時間序列模型避險期貨
外文關鍵詞:certainty equivalent incometransactionspanning polynomial projectionhedgefuturesgarchvecm
相關次數:
  • 被引用被引用:2
  • 點閱點閱:254
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本論文旨在探討線性模型與非線性方法對於期貨避險的績效比較,線性模型是以誤差修正模型結合雙變量條件異質模型為主,而非線性模型的部分則是以擴張多項式預測模型為代表.對於最適的避險比率,本篇研究是站在一個mean-variance的架構下,算出使certainty equivalent income(CEI)最大的避險比率,另外在穩健度測試中,我們亦加入交易成本來考量.
This paper examines the effectiveness of hedging crude oil price fluctuations using crude oil futures contracts traded at the New York Mercantile Exchange (NYMEX). On the framework of mean-variance objective, we define the optimal hedge ratio as to increase hedger’s certainty equivalent income(CEI) the most and we compare the hedge effectiveness of two different models—VEC-GARCH model and spanning polynomial projection (SPP) method.
Both in-sample and out-of-sample hedging performances are examined, and for robustness, we take transaction cost into account .Result reveals that risk averse hedgers might be better off using either the SPP or VEC-GARCH approaches to hedge their crude oil exposure.
Contents

1. INTRODUCTION...........................................1

2. LITERATURE REVIEW......................................3

3. OPTIMAL HEDGE RATIO AND MODELS
3.1. Optimal Hedge Ratio..................................7
3.2. Hedging With VEC-GARCH Model........................10
3.3. Hedging With SPP Model..............................11

4. DESCRIPTION OF DATA...................................13

5. EMPIRICAL RESULTS
5.1. In-Sample Model Estimate and Hedge Ratios Comparison Results..................................................16
5.1.1 VEC-GARCH Model....................................16
5.1.2 SPP Model..........................................21
5.1.3. In-sample Comparisons of Hedging Effectiveness....23
5.2. Out-of-Sample Hedge Ratios Comparison Results.......26

6. CONCLUSION............................................28


BIBLIOGRAPHY.............................................30
BIBLIOGRAPHY

Alexakis, V. & Visvikis, I. (2002). The hedging performance of stock index futures: The case of the Athens derivatives exchange.Working Paper.
Alizadeh, A. H., Lin, S. & Nomikos, N. (2004). Effectiveness of oil futures contracts for hedging international crude oil prices.Working Paper .
Baillie, R. T., & Myers, R. J. (1991). Bivariate GARCH estimation of the optimal commodity futures hedge. Journal of Applied Econometrics, 6, 109–124.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity.Journal of Econometrics,31, 307–327.
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96, 116–131.
Bryant, H. L., & Haigh, M. (2005). Derivative pricing model and time-series approach to hedging: A comparison. The Journal of Futures Markets, 7, 613-641.
Brooks, C., Henry, O.’ T., & Persand, G. (2002). The effect of asymmetries on optimal hedge ratios. The journal of business, 75, 333-352.
Cecchetti, S. G., Crumby, R. E., & Figlewski, S. (1988). Estimation of the optimal futures hedge. Review of Economics and Statistics, 70, 623–630.
Chen, A.-S. & Leung, M. T. (2005) Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model. Journal of Banking & Finance, 29, 2947-2969.
Chen, K. C., Sears R. S. and Tzang, D., (1987). Oil prices and energy futures. The Journal of Futures Markets, 7, 501 - 518.
Ederington, L. H. (1979). The hedging performance of the new futures markets. Journal of Finance, 34, 157–170.
Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55, 251–276.
Figlewski, S. (1984). Hedging performance and basis risk in stock index futures. Journal of Finance, 39, 657 - 669.
Franckle, C (1980). The hedging performance of the new futures market: comment. The journal of finance, 5, 1273-1279.
Ghosh, A. (1993). Hedging with stock index futures: Estimation and forecasting with error correction model. Journal of Futures Markets, 13, 743–752.
Grammatikos, T. and Saunders, A. (1983). Stability and the Hedging Performance of Foreign Currency Futures. The Journal of Futures Markets, 3, 295 - 305.
Haigh, M. S., & Holt, M. T. (2000). Hedging multiple price uncertainty in international grain trade. American Journal of Agricultural Economics, 65, 603–605.
Herbst, A. F., Swanson, P. E. and Caples, S. C. (1992). A Re-determination of Hedging Strategies using Foreign Currency Futures Contracts and Forward Markets. Journal of Futures Markets, 12, 93-104.
Hsiang, F. C. (2003). Numerical valuation for spread options.
Johansen, S. (1988). Statistical analysis of cointegrating vectors. Journal of Economics Dynamics and Control, 52, 169–210.
Johnson, L. L. (1960). The theory of hedging and speculation in commodity futures. Review of Economic Studies, 27, 139–151.
Kroner, K. F., & Sultan, J. (1993). Time varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis, 28, 535–551.
Lien, D. (1996). The effect of the cointegration relationship on futures hedging: A note. The Journal of Futures Markets 16, 773 - 780.
Lien, D. & Tse,Y. K. (1999). Fractional cointegration and futures hedging. The Journal of Futures Market, 19, 457-474.
Lindahl, M. (1992). Minimum variance hedge ratios for stock index futures: Duration and expiration effects. Journal of Futures Markets 12, 33 - 53.
Myers, R. J., & Thompson, S. R. (1989). Generalized optimal hedge ratio estimation. American Journal of Agricultural Economics, 71, 858–868.
Stein, J. L. (1961). The simultaneous determination of spot and futures prices. American economic review, 51.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊