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:	Roengchai Tansuchat, Paravee Maneejuk, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Computer Science Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006049770&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55574
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-55574
record_format	dspace
spelling	th-cmuir.6653943832-555742018-09-05T03:06:50Z Volatility hedging model for precious metal futures returns Roengchai Tansuchat Paravee Maneejuk Songsak Sriboonchitta Computer Science Mathematics © 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. 2018-09-05T02:58:00Z 2018-09-05T02:58:00Z 2016-01-01 Book Series 16113349 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/6653943832/55574
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science Mathematics
spellingShingle	Computer Science Mathematics Roengchai Tansuchat Paravee Maneejuk Songsak Sriboonchitta Volatility hedging model for precious metal futures returns
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	Roengchai Tansuchat Paravee Maneejuk Songsak Sriboonchitta
author_facet	Roengchai Tansuchat Paravee Maneejuk Songsak Sriboonchitta
author_sort	Roengchai Tansuchat
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	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006049770&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55574
_version_	1681424531220070400

Volatility hedging model for precious metal futures returns

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