Optimal Hedge Ratio for Brent Oil Market; Baysian Approach

• Autorzy: Mohsen Mehrara , Monire Hamldar
• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Słowa kluczowe

EN

Oil prices; Investing; Fuel market

PL

Ceny ropy naftowej; Inwestowanie; Rynek paliw

• Czasopismo: International Letters of Social and Humanistic Sciences (ILSHS)
• Rocznik: 2014
• Tom: 26
• Strony: 82--87

Twórcy

autor

Mohsen Mehrara

• University of Tehran, Iran

autor

Monire Hamldar

• University of Tehran, Iran

Bibliografia

• 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.