Advanced Search
MyIDEAS: Login to save this article or follow this journal

Futures hedging: Multivariate GARCH with dynamic conditional correlations (in Russian)

Contents:

Author Info

  • Alexei Kolokolov

    (Plekhanov Russian University of Economics, Moscow, Russia
    University of Rome 'Tor Vergata', Rome, Italy)

Registered author(s):

    Abstract

    This article studies modeling dependence between futures and spot prices of financial indices and verifies a practical value of econometric models for futures hedging using Russian and foreign data. The dynamics of futures and spot prices is described by an error correction model, while volatilities and correlations are modeled by various multivariate GARCH models with dynamic conditional correlations of different degree of detail. The empirical investigation carried out in the article can answer questions on effectiveness of hedging strategies based on multivariate GARCH models, on similarities and differences of dependencies between futures and basic assets in Russian and foreign financial markets, and on a reasonable degree of detail in multivariate GARCH modeling.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://quantile.ru/09/09-AK.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Quantile in its journal Quantile.

    Volume (Year): (2011)
    Issue (Month): 9 (July)
    Pages: 61-75

    as in new window
    Handle: RePEc:qnt:quantl:y:2011:i:9:p:61-75

    Contact details of provider:
    Web page: http://quantile.ru/

    Related research

    Keywords: futures; hedging; multivariate GARCH models; dynamic conditional correlations;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Habrov, Vladimir, 2012. "Optimization of portfolio management based on vector autoregression models and multivariate volatility models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 28(4), pages 35-62.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:qnt:quantl:y:2011:i:9:p:61-75. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stanislav Anatolyev).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.