Pouria Ghorbani

[ 1 ] - Risk Management in Oil Market: A Comparison between Multivariate GARCH Models and Copula-based Models

H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...