臺灣博碩士論文加值系統

Abstract: The paper focuses on the idea that by choosing the method between nonparametric model and time-series model to show us what inferences can we draw from them and which one can have better outcomes in the out-of-sample period. It is also the key factors of the research to account for the effects of coefficient of absolute risk aversion and transaction costs to the results. Without transaction costs, we find that Epanechnikov kernel regression way can outperform VEC-GARCH way. But if transaction costs are considered, it is surprising that antipodes happened. VEC-GARCH is better than Epanechnikov kernel regression (hereafter Epanechnikov kernel).Finally, empirical results show coefficient of absolute risk aversion have limited effects to them.

Contents
Page
Abstract
Chapter One
1. Introduction………………………………………………………….1
Chapter Two
2.1 Hedging Commodity Price Risk Using Time Series Models………3
2.2 Hedging Commodity Price Risk Using Multivariate nonparametric Models…………………………………………………………………..9
Chapter Three
3.1 Data Collection……………………………………………………..14
3.2 Parameter Estimation, and Parameter Inference……………………15
Chapter Four
4.1 Comparisons of hedging performance………………………………22
4.2 Conclusion…………………………………………………………..26
References………………………………………………………………27

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