This paper investigates the short-term dynamics of stock returns in an emerging stock market namely, the Cyprus Stock Exchange (CYSE). Stock returns are modelled as conditionally heteroscedastic processes with time-dependent serial correlation. The conditional variance follows an EGARCH process,...

Despite the growing importance of the commercial paper market there is no empirical work investigating the hedging performance of dynamic hedging strategies versus traditional static hedging strategies. This article proposes a dynamic hedging model for commercial paper that takes advantage of...

This article proposes a dynamic hedging model for Government National Association Mortgage-Backed Securities (GNMA MBSs) that is free of the drawbacks associated with the static hedging strategies currently used. The simultaneity bias of the regression approach is dealt with by modeling the...