Volatility hedging model for precious metal futures returns

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
格式:	Book Series
出版:	2018
主題:	Computer Science Mathematics
在線閱讀:	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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