Comparing Trading Performance of the Constant and Dynamic Hedge Models: A Note

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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Comparing Trading Performance of the Constant and Dynamic Hedge Models: A Note

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2000 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1008303712619
Publisher site
See Article on Publisher Site

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