Value-at-risk estimation with the optimal dynamic biofuel portfolio
學年 99
學期 2
出版（發表）日期 2011-03-01
作品名稱 Value-at-risk estimation with the optimal dynamic biofuel portfolio
作品名稱（其他語言）
著者 Chang, Ting-Huan; Su, Hsin-Mei; Chiu, Chien-Liang
單位 淡江大學財務金融學系
出版者 Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數 Energy Economics 33(2), pp.264-272
摘要 In the past, petroleum companies only paid attention to hedging the variation in the crude oil price and volatility. However, they have now expanded their analysis to encompass renewable sources, such as corn and soybeans, under the current low-carbon biofuel obligations. This paper employs GARCH(1,1) and ARJI models to estimate the one-day-ahead Value-at-Risk (VaR) of the optimal dynamic biofuel portfolio, which consists of crude oil, corn and soybeans. The optimal blended standard is subject to the dual limitations of minimum production costs and the lowest biofuel using requirements. Our empirical findings confirm that the ARJI model is more suitable than the GARCH (1,1) model and further captures the discontinuous jump behavior from the in-the-sample data. The results of out-of-sample forecasts also are represented that our models play important roles in VaR estimation and risk management for biofuel portfolio. We therefore suggest that the petroleum companies should simultaneously pay attention to jump risk in hedging material costs in the prices of energy-related crops.
關鍵字 VaR; Dynamic biofuel portfolio; ARJI model
語言 en
ISSN 0140-9883
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Su, Hsin-Mei
審稿制度
國別 NLD
公開徵稿
出版型式 紙本
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