Limits to arbitrage and hedging: Evidence from commodity markets
نویسندگان
چکیده
منابع مشابه
Hedging in Chinese Commodity Futures Markets
Chinese commodity futures markets have become some of the most important derivative markets worldwide. This paper studies the optimal hedge ratios on two popular contracts in China, soybeans and copper, by employing copula functions. Our empirical results suggest that the proposed copula hedging strategy outperforms the simple regression method and dynamic conditional correlation (DCC) method b...
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(a) Jonathan A. Batten, Department of Finance, Hong Kong University of Science & Technology, Sai Kung, Hong Hong, Phone: ++852-2358-7688, Email: [email protected]. (b) Wai-Sum Chan, Department of Finance, The Chinese University of Hong Kong, 426D, Leung Kau Kui Building, New Territories, Hong Kong, Phone: +852 2609 7715, Email: [email protected]. (c) Hon-Lun Chung, School of Accountin...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2013
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2013.03.003