Optimal Hedge Ratio of Bahar Azadi Coin Futures: Application of Markov Regime Switching Models
According to the importance of the hedging of gold coin market fluctuations, the purpose of this study is to estimate the minimize variance of optimal hedge ratios for Bahar Azadi coin futures contracts from period of 2013/12/17 to 2017/06/01 using Markov Switching model and comparison of hedging pe...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Semnan University
2018-03-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_3681_dbf5f5d0396e6354d32e2ac70fcf1f2e.pdf |