On the optimal dynamic hedging with nonferrous metals
作者机构:Dept.of Economics and ManagementUniversity of Yaoundé2 at SoaCameroon
出 版 物:《Journal of Economic Science Research》 (经济科学研究(英文))
年 卷 期:2019年第2卷第2期
页 面:1-21页
学科分类:0202[经济学-应用经济学] 02[经济学]
主 题:Conditional correlation Spillovers Portfolio weight
摘 要:This paper employs multivariate GARCH to model conditional correlations and to examine volatility spillovers and hedging possibilities with nonferrous metals traded on the London Metal Exchange(LME)*** different multivariate GARCH models(diagonal,CCC and DCC)are employed and *** nonferrous metals studied are copper,aluminum,tin,lead,zinc and nickel and span the period from January 6,2000 to February 29,*** multivariate DCC GARCH framework is found to fit the data in an appropriate design and provides results showing the strongest evidence of long-term persistence volatility spillovers between lead and *** also find that the Hurst exponents given by the R/S method are on average 0.94,indicating the existence of a strong degree of long-range dependence in conditional *** average,the cheapest hedge is a long position in lead and a short position in *** most expensive hedge is long nickel and short copper.