Conditional Dynamic Hedging in Mexico Using Stock Index Futures PDF Download
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Author: Esteban Polidura Frohmader
Publisher:
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Category :
Languages : en
Pages :
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Author: Esteban Polidura Frohmader
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Category :
Languages : en
Pages :
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Author: Georgios D. Giaouris
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Category :
Languages : en
Pages :
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Author: Che-Kun Hsu
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Category :
Languages : en
Pages :
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Author: Kenneth F. Kroner
Publisher:
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Category : Financial futures
Languages : en
Pages : 44
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Author: ANTHONY TUCK-KWAI CHAN
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 402
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Treasury bills futures market are chosen for the purpose of empirical study.
Author: Gyu-Hyun Moon
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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This article examines the hedging performance of the conventional OLS model and a variety of dynamic hedging models for the in-sample and out-of-sample periods of Korean daily KOSDAQ STAR (KOSTAR) index futures. We employ the rolling OLS and various popular multivariate GARCH models to estimate and forecast the conditional covariances and variances of KOSTAR spot and futures returns. The paper finds that dynamic hedging methods outperform the conventional method for the out-of-sample period. However, the simple rolling OLS is superior to all the other popular multivariate GARCH models.
Author: Chih-Chiang Hsu
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
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In a number of prior studies it has been demonstrated that the traditional regression-based static approach is inappropriate for hedging with futures, with the result that a variety of alternative dynamic hedging strategies has emerged. In this paper we propose a class of new copula-based GARCH models for the estimation of the optimal hedge ratio and compare their effectiveness with that of other hedging models, including the conventional static, the constant conditional correlation (CCC) GARCH, and the dynamic conditional correlation (DCC) GARCH models. In regards to the reduction of variance in the returns of hedged portfolios, our empirical results show that in both the in-sample and out-of-sample tests, with full flexibility in the distribution specifications, the copula-based GARCH models perform more effectively than other dynamic hedging models.
Author: Charles M.S. Sutcliffe
Publisher: Routledge
ISBN: 1351148559
Category : Business & Economics
Languages : en
Pages : 534
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The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Author: Kevin Dowd
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 292
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Finance/Investment Beyond Value at Risk The New Science of Risk Management A Comprehensive Guide to Value at Risk and Risk Management Risk management and measurement are now, without doubt, the hottest topics in the finance world. Today, quantifying risk management is not only a management tool - but is also used by regulators for banks and finance houses. Beyond Value at Risk provides a comprehensive guide to recent developments and existing approaches to VaR and risk management, going beyond traditional approaches to the subject and offering a new, far-reaching perspective on investment, hedging and portfolio decision-making. The key to this distinctive approach is a new decision rule - the 'Generalised Sharpe Rule', and its practical applications. Beyond Value at Risk provides the answers to key questions, including: * How to implement VaR and related systems in the real world * How to make vital investment decisions and estimate their effect * How to make hedging decisions * How to manage a portfolio It offers financial professionals, academics and students comprehensive coverage of VaR both in theory and practice.
Author:
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Category : Economics
Languages : en
Pages : 1340
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