A dynamic hedging approach for refineries in multiproduct oil markets

CASISD OpenIR > 中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)

	A dynamic hedging approach for refineries in multiproduct oil markets
	Ji, QA; Fan, Y
发表期刊	ENERGY
关键词	Hedge Garch Dynamic Conditional Correlation
摘要	A multiproduct portfolio hedge ratio strategy for oil futures is investigated using a multivariate GARCH model based on dynamic conditional correlation and an error correction model (DCC-ECM-MVGARCH). By considering the characteristics of refiner profits from crack spread and the mutual relations among crude oil, gasoline and heating oil spot and future prices, we estimate the time-varying optimal hedge ratios for the oil-cracking margin. In addition, a naive strategy, a traditional OLS model and dynamic B-GARCH model are selected to compare with our model for hedge effectiveness. Comparison of hedge effectiveness for in-sample and out-of-sample data reveals that the dynamic DCC-ECM-MVGARCH model is more sensitive to market fluctuations, provides a more accurate description of changes in volatility and has more advantages than other models. Therefore, the empirical results prove that application of the DCC-ECM-MVGARCH model for hedging of oil market portfolio can play an important role in avoiding the double risk of crude oil and oil product markets for refineries. (C) 2010 Elsevier Ltd. All rights reserved.
	2011
卷号	36 期号:2 页码:7,881-887
ISSN	0360-5442
学科领域	Thermodynamics ; Energy & Fuels
收录类别	SCI
语种	英语
WOS记录号	WOS:000288102600020
引用统计	被引频次：17[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/4343
专题	中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)
推荐引用方式 GB/T 7714	Ji, QA,Fan, Y. A dynamic hedging approach for refineries in multiproduct oil markets[J]. ENERGY,2011,36(2):7,881-887.
APA	Ji, QA,&Fan, Y.(2011).A dynamic hedging approach for refineries in multiproduct oil markets.ENERGY,36(2),7,881-887.
MLA	Ji, QA,et al."A dynamic hedging approach for refineries in multiproduct oil markets".ENERGY 36.2(2011):7,881-887.

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