Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
نویسندگان
چکیده
منابع مشابه
Analysis of the Dynamic Optimal Hedging Ratio and its Effectiveness by M-GARCH Models: A Case Study for Iran Crude Oil Spot Price
Hedging the risk of crude oil prices fluctuation for countries such as Iran that are highly dependent on oil export earnings is one of the important subject to discuss. In this regard, the main purpose of this study is to calculate and analyze the optimal dynamic hedging ratio for Iranian light and heavy crude oil spot prices based on one-month to four-month cross hedge contracts in New York St...
متن کاملDynamic factor multivariate GARCH model
Factor models are well established as promising alternatives to obtain covariance matrices of portfolios containing a very large number of assets. In this paper, we consider a novel multivariate factor GARCH specification with a flexible modeling strategy for the common factors, for the individual assets, and for the factor loads. We apply the proposed model to obtain minimum variance portfolio...
متن کاملDynamic Hedging Strategies
To hedge its written call, the issuing firm decides to buy shares of the underlying stock or portfolio. The number of shares purchased at time t will depend on the price of the underlying stock at t and on the amount of time remaining until the expiration of the call. Another way of viewing this is that the amount of stock held against the call position depends on the probability that the optio...
متن کاملHedging Effectiveness of Crude Palm Oil Futures Market in Malaysia
This paper investigated the hedging effectiveness of crude palm oil futures market in Malaysia from January 2009 to June 2011 which traded under Bursa Malaysia Derivatives Berhad. Ordinary Least Squared (OLS) method was used to compute Minimum-Variance hedging ratio (MVHR), R-squared and hedging effectiveness by using daily data from settlement price of crude palm oil futures contracts and spot...
متن کاملDelta-gamma-theta Hedging of Crude Oil Asian Options
HRUŠKA JURAJ. 2015. Delta-gamma-theta Hedging of Crude Oil Asian Options. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 63(6): 1897–1903. Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper i...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1531187