Volatility Hedging Model for Precious Metal Futures Returns

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• 关键词：Markov switching copula ; Time ; varying dependence ; Hedging strategy ; Hedge ratio ; Hedging effectiveness
• 刊名：Lecture Notes in Computer Science
• 出版年：2016
• 出版时间：2016
• 年：2016
• 卷：9978
• 期：1
• 页码：675-688
• 全文大小：2,417 KB
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• 作者单位：Roengchai Tansuchat (18)
  Paravee Maneejuk (18)
  Songsak Sriboonchitta (18)
  
  18. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand
  
• 丛书名：Integrated Uncertainty in Knowledge Modelling and Decision Making
• ISBN：978-3-319-49046-5
• 刊物类别：Computer Science
• 刊物主题：Artificial Intelligence and Robotics
  Computer Communication Networks
  Software Engineering
  Data Encryption
  Database Management
  Computation by Abstract Devices
  Algorithm Analysis and Problem Complexity
  
• 出版者：Springer Berlin / Heidelberg
• ISSN：1611-3349
• 卷排序：9978

文摘

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.