Volatility hedging model for precious metal futures returns

© 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 t...

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Main Authors:	Tansuchat R., Maneejuk P., Sriboonchitta S.
Format:	Book Series
Published:	2017
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006049770&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42189
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-42189
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spelling	th-cmuir.6653943832-421892017-09-28T04:25:45Z Volatility hedging model for precious metal futures returns Tansuchat R. Maneejuk P. Sriboonchitta S. © 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. 2017-09-28T04:25:45Z 2017-09-28T04:25:45Z 2016-01-01 Book Series 03029743 2-s2.0-85006049770 10.1007/978-3-319-49046-5_57 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006049770&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42189
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
description	© 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.
format	Book Series
author	Tansuchat R. Maneejuk P. Sriboonchitta S.
spellingShingle	Tansuchat R. Maneejuk P. Sriboonchitta S. Volatility hedging model for precious metal futures returns
author_facet	Tansuchat R. Maneejuk P. Sriboonchitta S.
author_sort	Tansuchat R.
title	Volatility hedging model for precious metal futures returns
title_short	Volatility hedging model for precious metal futures returns
title_full	Volatility hedging model for precious metal futures returns
title_fullStr	Volatility hedging model for precious metal futures returns
title_full_unstemmed	Volatility hedging model for precious metal futures returns
title_sort	volatility hedging model for precious metal futures returns
publishDate	2017
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006049770&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42189
_version_	1681422142154997760

Volatility hedging model for precious metal futures returns

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