Copula based Dynamic Hedging Strategy with Futures

被引：0
|
作者：
Righi, Marcelo Brutti [1 ]
Ceretta, Paulo Sergio [1 ]
机构：
[1] Univ Fed Santa Maria, Santa Maria, RS, Brazil
来源：
ECONOMICS BULLETIN | 2012年 / 32卷 / 04期
关键词：
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We present in this paper a dynamic hedging strategy for futures based exclusively on copula functions. We develop an algorithm based on numerical simulations from estimated copula and marginal probability function to obtain innovations. We illustrate our approach through an empirical example with Crude Oil and Gold. OLS static estimate showed itself improper and the proposed algorithm obtained very good results in spot future variance reduction strategy.
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页码：3394 / 3400
页数：7
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