Hedging with futures: Efficacy of GARCH correlation models to European electricity markets

Giovanna Zanotti1, Giampaolo Gabbi2, Manuela Geranio3
1Bergamo University, SDA Bocconi Faculty, Italy
2Siena University, SDA Bocconi Faculty, Italy
3Bocconi University, Italy

Tóm tắt

Từ khóa


Tài liệu tham khảo

Ahmed, 2007, Effectiveness of time-varying hedge ratio with constant conditional correlation: an empirical evidence from the US treasury market, ICFAI Journal of Derivatives Markets, 4, 22

Baillie, 1991, Bivariate GARCH estimation of the optimal commodity futures hedge, Journal of Applied Econometrics, 6, 109, 10.1002/jae.3950060202

Bera, A.K., Garcia, P., Roh, J.-S., 1997. Estimation of time-varying hedging ratios for corn and soybeans: BGARCH and random coefficient approaches. OFOR Paper 97-06.

Bollerslev, 1990, Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model, Review of Economics and Statistics, 72, 498, 10.2307/2109358

Bollerslev, 1988, A capital asset pricing model with time varying covariances, Journal of Political Economy, 96, 116, 10.1086/261527

Brooks, 2002, The effect of asymmetries on optimal hedge ratio, Journal of Business, 75, 333, 10.1086/338484

Bystrom, 2003, The hedging performance of electricity futures on the Nordic power exchange, Applied Economics, 35, 1, 10.1080/00036840210138365

Chiang, 2007, Dynamic correlation analysis of financial contagion: evidence from the Asian Markets, Journal of International Money and Finance, 26, 1206, 10.1016/j.jimonfin.2007.06.005

Commission of the European Communities, 2009. Report on Progress in Creating the Internal Gas and Electricity Market, Brussels.

Copeland, L., Zhu, Y., 2006. Hedging Effectiveness in the Index Futures Market. Cardiff Business School working paper.

Ding, Z., 1994. Time Series Analysis of Speculative Returns. PhD thesis. University of California, San Diego.

Ederington, 2008, Minimum variance hedging when spot price changes are partially predictable, Journal of Banking and Finance, 32, 654, 10.1016/j.jbankfin.2007.05.003

Engle, 2002, Dynamic conditional correlation—a simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 20, 339, 10.1198/073500102288618487

Engle, R.F., Sheppard, K., 2001. Theoretical and empirical properties of Dynamic Conditional Correlation MVGARCH. Working paper No. 2001-15, University of California, San Diego.

Escribano, A., Pena, J.I., Villaplana, P., 2002. Modeling electricity prices: international evidence. Universidad Carlos III de Madrid Working Paper 02/07.

Kenourgios, 2008, Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract, International Journal of Risk Assessment and Management, 9, 121, 10.1504/IJRAM.2008.019316

Koopman, 2007, Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices, Journal of the American Statistical Association, 102, 16, 10.1198/016214506000001022

Kroner, 1993, Time varying distribution and dynamic hedging with foreign currency futures, Journal of Financial and Quantitative Analysis, 28, 535, 10.2307/2331164

Ku, 2007, On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios, Applied Economics Letters, 14, 503, 10.1080/13504850500447331

Lien, 2002, Evaluating the hedging performance of the constant-correlation GARCH model, Applied Financial Economics, 12, 791, 10.1080/09603100110046045

Malo, P., Kanto, A., 2005. Evaluating multivariate GARCH models in the Nordic Electricity Markets. Helsinki School of Economics working paper w-382.

Rossi, 2002, Hedging interest rate risk with multivariate GARCH, Applied Financial Economics, 12, 241, 10.1080/09603100110088094

Savva, 2009, International stock markets interactions and conditional correlations, Journal of International Financial Markets, Institutions and Money, 19, 645, 10.1016/j.intfin.2008.11.001

Torró, 2008

Wickens, 2007, The pricing of electricity futures: evidence from the European energy exchange, Journal of Futures Market, 27, 387, 10.1002/fut.20246

Yang, 2003, Asset storability and hedging effectiveness in commodity futures markets, Applied Economics Letters, 10, 487, 10.1080/1350485032000095366