Optimal Hedge Ratio for Brent Oil Market; Baysian Approach

Mehrara, Mohsen; Hamldar, Monire

doi:10.18052/www.scipress.com/ilshs.37.82

ILSHS

2014

DOI: 10.18052/www.scipress.com/ilshs.37.82

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Optimal Hedge Ratio for Brent Oil Market; Baysian Approach

Mohsen Mehrara

Monire Hamldar

Abstract: This paper examines the optimal hedging ratio (OHR) for the Brent Crude Oil Futures using daily data over the period 1990/17/8-2014/11/3. To gain OHR, it is employed a Vector Autoregressive (VAR) and Vector Error Correction (VEC) and Baysian Vector Autoregressive (BVAR) models. At last, the efficiency of these calculated OHR are compared through Edrington's index.

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The Relationship between Spot and Futures Prices in Brent Oil Crude Market

Mehrara

2014

ILSHS

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This paper investigates the relationship between spot and futures prices in Brent Crude Oil Market using daily data over the period 1990/17/8-2014/11/3. The results of unit root test indicate that both of the spot and futures prices variables are non-stationary. The results of the Johansen cointegration test suggest that there is a long-run relationship between these variables. The dynamic Granger causality captured from the vector error correction model indicates strong bidirectional effects between the spot and futures price of Brent Crude Oil. The coefficient of the ECT and lagged explanatory variables are significant in both equations which indicates that long-run as well as shortrun bidirectional causalities between log of spot and futures price.

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The Relationship between Spot and Futures Prices in Brent Oil Crude Market

Mehrara

2014

ILSHS

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Investigation of the Effects of In-Service Training Courses on Awareness Level of Personnel of Petrochemical Company (Tondgooyagn) on the Base of Halton’s Model

Ahvazi

Omidian

2014

ILSHS

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The aim of present study is to investigate the effects of in-service training courses on awareness level of personnel Tondgooyan petrochemical site based on Halton pattern. The present study is applied in its objective and semi-experimental in method of data collection. In the present study, the researcher's test is used in pre-test, post-test and questionnaire stages. Covariance analysis test was used to test the researcher's questions. Validity of questions was verified through Pierson Correlation and their reliability was analyzed through Cronbach's alpha. In present study, sampling method was used to collect the necessary data from employees and based on Morgan's table, among 240 employees participating in training courses, 201 individuals were chosen but in order to avoid unfavorable decline, 220 employees were randomly chosen which led to collection of 202 completed questionnaires. Findings of present study, as presented in statistical analyses, showed the effectiveness of in-service training courses for stuff working in Tondgooyan petrochemical site in enhancing their learning based on Halton pattern.

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Optimal Hedge Ratio for Brent Oil Market; Baysian Approach

Cited by 2 publications

References 2 publications

The Relationship between Spot and Futures Prices in Brent Oil Crude Market

The Relationship between Spot and Futures Prices in Brent Oil Crude Market

Investigation of the Effects of In-Service Training Courses on Awareness Level of Personnel of Petrochemical Company (Tondgooyagn) on the Base of Halton’s Model

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