Comparing Trading Performance of the Constant and Dynamic Hedge Models: A Note.
The constant and dynamic hedge models, with the presence of transaction costs are compared for the Share Price Index futures contract trading on the Sydney Futures Exchange. The optimal hedge ratio is estimated by using a dynamic, bivariate two-stage model for the return equation with a dynamic GARCH error structure for the conditional hedge ratios. When portfolio projections are compared based on their profit positions (net of transaction costs), the GARCH hedge model dominates the next best competitor in terms of trading profit. Copyright 2000 by Kluwer Academic Publishers
Year of publication: |
2000
|
---|---|
Authors: | Yeh, Sally C ; Gannon, Gerard L |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 14.2000, 2, p. 155-60
|
Publisher: |
Springer |
Saved in:
freely available
Saved in favorites
Similar items by subject
-
Find similar items by using search terms and synonyms from our Thesaurus for Economics (STW).