One-factor and two-factor dynamic hedging of futures contracts with different maturities for emissions allowances
- DOI
- 10.2991/icsem.2013.43How to use a DOI?
- Keywords
- emissions allowances, hedge ratios, one-factor, two-factor, hedging effectiveness,
- Abstract
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.
- Copyright
- © 2013, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Kai Chang AU - Zhen Yu PY - 2013/04 DA - 2013/04 TI - One-factor and two-factor dynamic hedging of futures contracts with different maturities for emissions allowances BT - Proceedings of the 2nd International Conference On Systems Engineering and Modeling (ICSEM 2013) PB - Atlantis Press SP - 217 EP - 224 SN - 1951-6851 UR - https://doi.org/10.2991/icsem.2013.43 DO - 10.2991/icsem.2013.43 ID - Chang2013/04 ER -