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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Bibliographic Details
Main Authors: Roengchai Tansuchat, Paravee Maneejuk, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Subjects:
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
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