Volatility Hedging Model for Precious Metal Futures Returns

被引：0
|
作者：
Tansuchat, Roengchai [1 ]
Maneejuk, Paravee [1 ]
Sriboonchitta, Songsak [1 ]
机构：
[1] Chiang Mai Univ, Fac Econ, Chiang Mai, Thailand
来源：
INTEGRATED UNCERTAINTY IN KNOWLEDGE MODELLING AND DECISION MAKING, IUKM 2016 | 2016年 / 9978卷
关键词：
Markov switching copula; Time-varying dependence; Hedging strategy; Hedge ratio; Hedging effectiveness; COPULA;
D O I：
10.1007/978-3-319-49046-5_57
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This study attempts to evaluate appropriately the optimal hedge ratio and hedging effectiveness between spot and futures returns of precious metals with a special concern in gold, silver, and platinum. We employ the Markov switching dynamic copula model to measure the dependence structure between spot and futures returns of these precious metals and then evaluate the hedging strategies. Evidence from this study can bring about the contribution to the discussion on this area.
引用
收藏
页码：675 / 688
页数：14
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