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Dynamic hedging in stock index futures via copula multiplicative error model
| Content Provider | Semantic Scholar |
|---|---|
| Author | Chen, Wen-Chin Liu, Kai-Ping Yang, Yung-Lieh |
| Copyright Year | 2014 |
| Abstract | This article combines a copula function and multiplicative error models to capture the dependence structure and the volatility patterns simultaneously, named copula-multiplicative error model (cMEM). We examine hedging performance of the presenting cMEM with different estimation window sizes for the futures contract of Taiwan stock price index. The results have shown that the cMEM with 1250-day window size for Clayton survival, Gumbel and OLS has better performance in which Clayton survival survives during the crisis and has the best out-of-sample hedging effectiveness. The empirical evidence indicates that the cMEM performs well for the turmoil periods. |
| Starting Page | 801 |
| Ending Page | 805 |
| Page Count | 5 |
| File Format | PDF HTM / HTML |
| DOI | 10.1080/13504851.2013.849373 |
| Volume Number | 21 |
| Alternate Webpage(s) | http://cyc2012.dyu.edu.tw/pdf/H-2-%E4%BB%A5Copula%20Multiplicative%20Error%20Model%20%E5%BB%BA%E6%A7%8B%E8%82%A1%E7%A5%A8%E6%9C%9F%E8%B2%A8%E5%8B%95%E6%85%8B%E9%81%BF%E9%9A%AA%E7%AD%96%E7%95%A5(%E5%A7%9A%E5%86%A0%E5%AE%87).pdf |
| Alternate Webpage(s) | https://doi.org/10.1080/13504851.2013.849373 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
