The Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission Effects
Year of publication: |
2008-05-06
|
---|---|
Authors: | Chng, Michael T. ; Gannon, Gerard L. |
Institutions: | Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance |
Subject: | volatility transmission | dynamic hedging | optimal hedge ratio | S&P 500 |
-
Chng, Michael T., (2009)
-
Short Selling Equity Exchange Traded Funds and its Effect on Stock Market Liquidity
Karmaziene, Egle, (2020)
-
Dynamic futures hedging in currency markets
Chakraborty, Atreya, (1999)
- More ...
-
Chng, Michael T., (2009)
-
Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures
Gannon, Gerard L., (2009)
-
Market Makers V's The General Public: A First Look at S&P500 Futures Trade Data
Gannon, Gerard L., (2008)
- More ...