The Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission Effects
Year of publication: |
2008-05-06
|
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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 |
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