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I want to implement minimum-VaR and minimum Variance Hedging strategies using commodity futures. please see [obscured] /sol3/papers.cfm?abstract_id=1945303
Econometric models to be used are:
OLS, Normal Mixture (static), Normal Mixture GARCH, Bivariate GARCH, Markov Regime Switching.
Kupic and Christoffersen test are also needed.
Comparison of Hedging effectiveness is required.
I will provide you with some important papers, algorithm, model set-up and data, of course.
1. I prefer the project to be done step-by-step, meaning, I will give you several small tasks (3-4), since I am working on theoretical part myself at the same time. After you delivery the first task, I will pay the first milestone. (80 USD) each.
2. Software: matlab
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