Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/55574
Title: Volatility hedging model for precious metal futures returns
Authors: Roengchai Tansuchat
Paravee Maneejuk
Songsak Sriboonchitta
Keywords: Computer Science
Mathematics
Issue Date: 1-Jan-2016
Abstract: © Springer International Publishing AG 2016. 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.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006049770&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55574
ISSN: 16113349
03029743
Appears in Collections:CMUL: Journal Articles

Files in This Item:
There are no files associated with this item.


Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.