Dynamic hedging in Markov regimes

Detalhes bibliográficos
Autor(a) principal: Monteiro, Wagner Oliveira
Data de Publicação: 2008
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/2182
Resumo: 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.
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spelling Monteiro, Wagner OliveiraEscolas::EESPBueno, Rodrigo de Losso da Silveira2010-04-20T20:58:04Z2010-04-20T20:58:04Z2008-10-02MONTEIRO, Wagner Oliveira. Dynamic hedging in Markov regimes. Dissertação (Mestrado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2008.http://hdl.handle.net/10438/2182This 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.engDynamic hedgingDynamic conditional correlationMarkov switching regimesHedgeEconomiaHedging (Finanças)Markov, Processos deHedging (Finanças) - Modelos matemáticosDynamic hedging in Markov regimesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAIL2006 - Wagner_Oliveira_ Monteiro_02_10_2008.pdf.jpg2006 - Wagner_Oliveira_ Monteiro_02_10_2008.pdf.jpgGenerated Thumbnailimage/jpeg2641https://repositorio.fgv.br/bitstreams/445e684a-1901-4e8d-ab97-eeaa0140d87d/download0c203c4b49a6fe35aaf985620c52713aMD59ORIGINAL2006 - Wagner_Oliveira_ 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dc.title.por.fl_str_mv Dynamic hedging in Markov regimes
title Dynamic hedging in Markov regimes
spellingShingle Dynamic hedging in Markov regimes
Monteiro, Wagner Oliveira
Dynamic hedging
Dynamic conditional correlation
Markov switching regimes
Hedge
Economia
Hedging (Finanças)
Markov, Processos de
Hedging (Finanças) - Modelos matemáticos
title_short Dynamic hedging in Markov regimes
title_full Dynamic hedging in Markov regimes
title_fullStr Dynamic hedging in Markov regimes
title_full_unstemmed Dynamic hedging in Markov regimes
title_sort Dynamic hedging in Markov regimes
author Monteiro, Wagner Oliveira
author_facet Monteiro, Wagner Oliveira
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Monteiro, Wagner Oliveira
dc.contributor.advisor1.fl_str_mv Bueno, Rodrigo de Losso da Silveira
contributor_str_mv Bueno, Rodrigo de Losso da Silveira
dc.subject.eng.fl_str_mv Dynamic hedging
Dynamic conditional correlation
Markov switching regimes
Hedge
topic Dynamic hedging
Dynamic conditional correlation
Markov switching regimes
Hedge
Economia
Hedging (Finanças)
Markov, Processos de
Hedging (Finanças) - Modelos matemáticos
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Hedging (Finanças)
Markov, Processos de
Hedging (Finanças) - Modelos matemáticos
description 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.
publishDate 2008
dc.date.issued.fl_str_mv 2008-10-02
dc.date.accessioned.fl_str_mv 2010-04-20T20:58:04Z
dc.date.available.fl_str_mv 2010-04-20T20:58:04Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv MONTEIRO, Wagner Oliveira. Dynamic hedging in Markov regimes. Dissertação (Mestrado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2008.
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/2182
identifier_str_mv MONTEIRO, Wagner Oliveira. Dynamic hedging in Markov regimes. Dissertação (Mestrado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2008.
url http://hdl.handle.net/10438/2182
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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instname_str Fundação Getulio Vargas (FGV)
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institution FGV
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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