Resumo

JESUS GUTIERREZ, Raúl de. Dynamic strategies of efficient cross hedging for the mexican oil market: Evidence from two GARCH multivariate models with error correction term. Econ: teor. práct [online]. 2016, n.44, pp.115-146. ISSN 2448-7481.

This article extends the dynamic conditional correlation models of Engle and Tse and Tsui by incorporating error correction terms in order to devise dynamic minimum variance crosshedging strategies for Mexican crude oil. In terms of out-of-sample risk reduction, the empirical evidence confirms the superior performance of Engle's DCC-MGARCH model when the WTI crude oil futures market is used as a hedging mechanism, especially for Olmeca and Istmo crude oils. The findings have a number of important economic-financial implications for government and consumers because of the effectiveness and transparency of the cross hedging implemented to reduce the risk of lower transaction costs in the Mexican crude oil.

Palavras-chave : error correction DCC-MGARCH models; optimal cross-hedging ratio; hedging effectiveness index; crude oil futures markets.