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/).

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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  -