"If there is no priced risk--including volatility risk--associated with hedging an option, then expected delta hedging … hypothesis that delta hedging errors reflect rational pricing; foreign exchange volatility and stock market volatility predict … errors should be zero. This paper finds that delta hedging errors of a synthetic at-the-money call option on foreign exchange …

This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non …-variability of conditional correlation, a dynamic correlation structure is included in the volatility model specification. The … integration, in particular, that exerts the largest influence on volatility transmission …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed … disturbancedensities) are investigated in relation to the hedging decision strategies.Consequently, we can make a distinction between …

The present study has extended the analysis of Dash et al (2008) in comparing the performance of different hedging …. Based on the results of the simulation of this model, the hedging strategies which yielded highest returns and lowest …

/or individual that has exposure to foreign exchange rate risk will have specific foreign exchange hedging needs; on the other hand …, the effectiveness of different hedging techniques depends on the specific purposes they serve.The present study extends … the analysis of Dash et al. (2008) in comparing the performance of four different Forex hedging strategies, approaching …

'hedging counterpart of last resort,' can help stabilize financial intermediation when U.S. dollar funding markets come under …