Currency Hedging Strategies Using Histogram-Valued Data: Bivariate Markov Switching GARCH Models

Currency Hedging Strategies Using Histogram-Valued Data: Bivariate Markov Switching GARCH Models

Previous studies aimed at determining hedging strategies commonly used daily closing spot and futures prices for the analysis and strategy building. However, the daily closing price might not be the appropriate for price in some or all trading days. This is because the intraday data at various minut...

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Bibliographic Details
Main Authors: Paravee Maneejuk, Nootchanat Pirabun, Suphawit Singjai, Woraphon Yamaka
Format: Article
Language:English
Published: MDPI AG 2021-11-01
Series:Mathematics
Subjects:
bivariate Markov switching models
copulas
currency futures
forecasting ability
methodology of optimal hedging
Online Access:https://www.mdpi.com/2227-7390/9/21/2773

Internet

https://www.mdpi.com/2227-7390/9/21/2773

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