Regime switching correlation hedging

被引：48

作者：

Lee, Hsiang-Tai ^{[1
]}

机构：

[1] Natl Chi Nan Univ, Dept Banking & Finance, Nantou Hsien 54561, Taiwan

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 11期

关键词：

Correlation hedging; Minimum variance hedge ratio; GARCH model; Markov regime switching; Commodity futures; STOCK INDEX FUTURES; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; BIVARIATE GARCH ESTIMATION; MODEL; SHIFTS; COST;

D O I：

10.1016/j.jbankfin.2010.05.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the hedging effectiveness of commodity futures when the correlations of spot and futures returns are subject to multi-state regime shifts. An independent switching dynamic conditional correlation GARCH (IS-DCC) which is free from the problems of path-dependency and recombining is applied to model multi-regime switching correlations. The results of hedging exercises indicate that state-dependent IS-DCC outperforms state-independent DCC GARCH and three-state IS-DCC exhibits superior hedging effectiveness, illustrating importance of modeling higher-state switching correlations for dynamic futures hedging. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：2728 / 2741

页数：14

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