Commodity Price Correlation and Time varying Hedge Ratios

Amine Lahiani and Khaled Guesmi

No 2014-142, Working Papers from Department of Research, Ipag Business School

Abstract: This paper examines the price volatility and hedging behavior of commodity futures indices and stock market indices. We investigate the weekly hedging strategies generated by return-based and range-based asymmetric dynamic conditional correlation (DCC) pr

Keywords: Range-based Dynamic Conditional Correlation; Downside Risk; Transaction Costs (search for similar items in EconPapers)
Pages: 13 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (20)

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