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Dynamic hedging in Markov regimes

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Previous issue date: 2008-10-02T00:00:00Z / 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.

Identiferoai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/2182
Date02 October 2008
CreatorsMonteiro, Wagner Oliveira
ContributorsEscolas::EESP, Bueno, Rodrigo de Losso da Silveira
Source SetsIBICT Brazilian ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis
Sourcereponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
Rightsinfo:eu-repo/semantics/openAccess

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