Volatility hedging model for precious metal futures returns

Roengchai Tansuchat; Paravee Maneejuk; Songsak Sriboonchitta

Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/55574

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DC Field	Value	Language
dc.contributor.author	Roengchai Tansuchat	en_US
dc.contributor.author	Paravee Maneejuk	en_US
dc.contributor.author	Songsak Sriboonchitta	en_US
dc.date.accessioned	2018-09-05T02:58:00Z	-
dc.date.available	2018-09-05T02:58:00Z	-
dc.date.issued	2016-01-01	en_US
dc.identifier.issn	16113349	en_US
dc.identifier.issn	03029743	en_US
dc.identifier.other	2-s2.0-85006049770	en_US
dc.identifier.other	10.1007/978-3-319-49046-5_57	en_US
dc.identifier.uri	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85006049770&origin=inward	en_US
dc.identifier.uri	http://cmuir.cmu.ac.th/jspui/handle/6653943832/55574	-
dc.description.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.	en_US
dc.subject	Computer Science	en_US
dc.subject	Mathematics	en_US
dc.title	Volatility hedging model for precious metal futures returns	en_US
dc.type	Book Series	en_US
article.title.sourcetitle	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)	en_US
article.volume	9978 LNAI	en_US
article.stream.affiliations	Chiang Mai University	en_US
Appears in Collections:	CMUL: Journal Articles

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