Please use this identifier to cite or link to this item: http://dspace.lib.uom.gr/handle/2159/26812
Author: Nικάνδρου, Χαράλαμπος
Title: Hedging US equity risk through energy and precious metals future contracts
Date Issued: 2022
Department: Πρόγραμμα Μεταπτυχιακών Σπουδών Εφαρμοσμένα Οικονομικά
Supervisor: Κύρτσου, Αικατερίνη
Abstract: In this work, we examine the potential of various financial commodities to hedge on the equity risk of S&P500 stock index. Three alternative multivariate conditional volatility models are also used to estimate the dynamic conditional correlations and the time-varying covariance matrixes between S&P500 and commodities. We also show the implications of our results on portfolio management and risk hedging. The conditional covariance and variances are used to calculate the time-varying optimal hedge ratio and optimal portfolio weights. Finally, the effectiveness of these hedge ratios is studied in terms of risk reduction focusing on the periods of the Global Financial Crisis and the Covid-19 pandemic.
Keywords: Optimal hedge ratio
Hedging effectiveness
Financial Commodities
Equity risk
Covid-19
Multivariate GARCH
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2022.
Appears in Collections:ΠΜΣ Εφαρμοσμένα Οικονομικά (Μ)

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