文章基本信息

标题：Copula based Dynamic Hedging Strategy with Futures
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作者：Marcelo Brutti Righi ; Paulo Sergio Ceretta
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2012
卷号：32
期号：4
页码：3394-3400
出版社：Economics Bulletin
摘要：We present in this paper a dynamic hedging strategy for futures based exclusively on copula functions. We develop an algorithm based on numerical simulations from estimated copula and marginal probability function to obtain innovations. We illustrate our approach through an empirical example with Crude Oil and Gold. OLS static estimate showed itself improper and the proposed algorithm obtained very good results in spot/future variance reduction strategy.
关键词：Dynamic Hedging Strategy; Future Markets; Copula Functions.