Optimal Hedge Ratio for Brent Oil Market; Baysian Approach

Mehrara, Mohsen; Hamldar, Monire

doi:10.18052/www.scipress.com/ILSHS.37.82

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Optimal Hedge Ratio for Brent Oil Market; Baysian Approach

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Abstract:

This paper examines the optimal hedging ratio (OHR) for the Brent Crude Oil Futures using daily data over the period 1990/17/8-2014/11/3. To gain OHR, it is employed a Vector Autoregressive (VAR) and Vector Error Correction (VEC) and Baysian Vector Autoregressive (BVAR) models. At last, the efficiency of these calculated OHR are compared through Edrington's index.

Info:

Periodical:

International Letters of Social and Humanistic Sciences (Volume 37)

Pages:

82-87

DOI:

https://doi.org/10.18052/www.scipress.com/ILSHS.37.82

Citation:

M. Mehrara and M. Hamldar, "Optimal Hedge Ratio for Brent Oil Market; Baysian Approach", International Letters of Social and Humanistic Sciences, Vol. 37, pp. 82-87, 2014

Online since:

August 2014

Authors:

Mohsen Mehrara, Monire Hamldar

Keywords:

BVAR, Edrington's Efficiency Index, OHR, Optimal Hedging Ratio, VAR, VECM

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Distribution:

Open Access

This work is licensed under a
Creative Commons Attribution 4.0 International License

References:

Chen S. S., Lee C. F., Shrestha K., The Quarterly Review of Economics and Finance 43 (2003) 433-465.

Ederington L. H., Journal of Finance 34 (1979) 157-170.

Litterman R. B., Journal of Business & Economic Statistics 4 (1986) 25-38.

Sims C.A., Tao Zha, International Economic Review 39(4) (1998) 949-968. ( Received 03 August 2014; accepted 11 August 2014 ) OHR Var (��) Var (��) Cov (��, ��).

7173.

000506.

000468.

000368 Future1 Hedging Effectiveness, E Var (H) Cov (U).

5576.

000207.

000468 Future1.

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