Dynamic hedging in Markov regimes
Contribuinte(s) |
Bueno, Rodrigo de Losso da Silveira |
---|---|
Data(s) |
20/04/2010
20/04/2010
02/10/2008
|
Resumo |
This dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and allows to capture the leverage efect in return equation. The model is applied using daily data of future and spot prices of Bovespa Index and R$/US$ exchange rate. The results in terms of variance reduction and utility show that the bivariate markov switching model outperforms the strategies based ordinary least squares and error correction models. |
Identificador | |
Palavras-Chave | #Hedge #Dynamic Hedging #Dynamic conditional correlation #Markov regime switching #Hedging (Finanças) #Markov, Processos de #Hedging (Finanças) - Modelos matemáticos |
Idioma(s) |
en_US |
Tipo |
Dissertation |