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Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … proportions than spot. For WTI, however, DCC and BEKK suggest holding crude oil futures to spot, but CCC and VARMA-GARCH suggest … dollar long in crude oil spot. Finally, the hedging effectiveness indicates that DCC (BEKK) is the best (worst) model for OHR …

Persistent link: https://www.econbiz.de/10013149486

Ethanol Hedging Strategies Using Dynamic Multivariate GARCH

Garcia, Sergio - 2016

Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best...

Persistent link: https://www.econbiz.de/10012979327

Optimal Order Size in Pro-Rata Markets

Aldridge, Irene - 2014

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...

Persistent link: https://www.econbiz.de/10013061277

Evolutionary Computational Approach in TAR Model Estimation

Parpinel, Francesca - 2012

The well-known SETAR model introduced by Tong belongs to the wide class of TAR models that may be specified in several different ways. Here we propose to consider the delay parameter as endogenous, that is we make it to depend on both the past value and the specific past regime of the series. In...

Persistent link: https://www.econbiz.de/10013111893

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Nakatani, Tomoaki (contributor); … - 2007

In this article, we derive a set of necessary and sufficient conditions for positivity of the vector conditional variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the constant conditional correlation GARCH model of Bollerslev...

Persistent link: https://www.econbiz.de/10003576679

Production Planning and Inventories Optimization with a General Storage Cost Function

Chazal, Marie; Jouini, Elyes; Tahraoui, Rabah - 2007

We study the deterministic optimization problem of a profit-maximizing firm which plans its sales/production schedule. The Firm knows the revenue associated to a given level of sales, as well as its production and storage costs. The revenue and the production cost are assumed to be,...

Persistent link: https://www.econbiz.de/10014048464

Diversification Benefits of Commodities : A Stochastic Dominance Efficiency Approach

Daskalaki, Charoula - 2017

We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...

Persistent link: https://www.econbiz.de/10012970724

Model Calibration : Global Optimizer vs. Neural Network

Hernandez, Andres - 2017

Calibration of financial models can have more than one local minima present, requiring the use of global optimization techniques to properly calibrate them. In general, calibrating with a global optimizer will be a slow operation. An artificial neural network, properly trained, can replicate the...

Persistent link: https://www.econbiz.de/10012952910

On Portfolio Optimisation Techniques

Andricopoulos, Ari - 2016

Here we look at alternative equity index weightings to ‘Market Capitalisation Weighting' to see whether the expected theoretical improvement given by Portfolio Optimisation Techniques are realised in practice. We introduce a new portfolio weighting measure, called ‘Constrained Inverse Beta',...

Persistent link: https://www.econbiz.de/10012980169