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英文文献：Multiproduct Optimal Hedging by Time-Varying Correlations in a State Dependent model of Regime-Switching-基于时变相关性的状态依赖模型的多产品最优套期保值
英文文献作者：Tejeda, Hernan A.,Goodwin, Barry K.
英文文献摘要：
We determine time-varying hedge ratios in a multiproduct setting using a multivariate state dependent model of regime switching dynamic correlations. The model enables one to depict the time-varying correlations for multiple series of cash and future prices in two or more different regimes (i.e. the conditional correlation is not constant in this multivariate model). This provides an improved characterization of the multiproduct dynamic hedging process as it captures the evolution of the cash/futures correlation matrix when the model switches from a regime of low correlation to one of higher correlation or vice-versa. The model switches regimes according to a Markov chain process and does not have a dimensionality problem for larger numbers of series, as does the more conventional BEKK model. In addition, we introduce fundamental, economically related factors in the regime switching process to assess their effect. These are (weakly) exogenous variables with respect to the markets being considered. Results show that these explicit weakly exogenous variables have an impact on the dynamic process. We determine the optimal hedge ratios for the soybean complex by specifically introducing the stocks-to-use ratio of soybeans as a variable in determining the probability of switching correlation regimes. The stocks-to-use ratio contains specific, up-to-date information on the supply and demand conditions relevant to the soybean markets, and hence has a direct role in determining the price of the commodities. By introducing this variable, our model achieves improvement in the characterization of the process over the case of constant transition probabilities between regimes. Additionally, shocks to these related variables permit us to identify the effect on the hedging ratios and comparison to simpler hedging estimation procedures. The model applied is from Tejeda et al. (2009).
我们决定时变对冲比率的多产品设置使用多元状态依赖模型的制度切换动态相关。该模型使人们能够描述在两种或两种以上不同制度下的多系列现金和未来价格的时变相关性(即，在这个多元模型中，条件相关性不是恒定的)。这为多产品动态对冲过程提供了一个改进的表征，因为它捕获了当模型从低相关性到高相关性或反之亦然时现金/期货相关性矩阵的演变。该模型根据马尔可夫链过程来切换体制，并且对于更大数目的级数没有维数问题，就像更传统的BEKK模型一样。此外，我们介绍基本的，经济相关的因素在制度转换过程中，以评估其影响。相对于所考虑的市场，这些是(弱的)外生变量。结果表明，这些外显的弱外生变量对动态过程有影响。通过引入大豆的库存利用率作为决定转换相关制度概率的变量，我们确定了大豆复合物的最佳对冲比率。库存与使用比率包含有关大豆市场的供求状况的具体的、最新的信息，因此对决定商品价格有直接的作用。通过引入这个变量，我们的模型实现了对状态间常数转移概率情况下过程的描述的改进。此外，对这些相关变量的冲击允许我们识别对套期比率的影响，并与更简单的套期估计程序进行比较。应用的模型来自Tejeda等人(2009)。
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