One-factor and two-factor dynamic hedging of futures contracts with different maturities for emissions allowances

摘要：

　　Unexpected market information have a different speed change to market price of futures contracts with different maturities,and the paper estimates one-factor and two-factor dynamics hedge ratios and hedging effectiveness evaluation.One-factor and two-factor hedge ratios of futures contracts with different maturities for emissions allowances have time-varying trends.Compared with one-factor hedging,with an increase of span period,market participations can achieve a slight effect on risk reduction of portfolio revenues of futures contracts with different maturities by using two-factor hedge ratios,and especially two-factor hedging policy exhibits better hedging effectiveness for longer-term span period of futures contracts with different maturities for emissions allowances.

关键词： emissions allowances hedge ratios one-factor two-factor hedging effectiveness

作者: Chang Kai Yu Zhen

作者单位: Zhejiang University of Financial & Economics,Hangzhou,Zhejiang,310038,China ;Shenzhen Graduate Schoo Shenzhen Graduate School, Harbin Institute of Technology,Shenzhen,Guangdong, 518055, China

会议类型: 国际会议

会议名称: 2013 2nd International Conference on Systems Engineering and Modeling(ICSEM-13)(2013年第二届系统工程与建模国际会议)

会议地点: 北京

会议语种:英文

页码: 217-224

在线出版日期: 2013-04-19（万方平台首次上网日期，不代表论文的发表时间）