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The trading performance of dynamic hedging models: time varying covariance and volatility transmission effects

Author

Listed:
  • Chng, Michael T.
  • Gannon, Gerard L.

Abstract

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Suggested Citation

  • Chng, Michael T. & Gannon, Gerard L., 2008. "The trading performance of dynamic hedging models: time varying covariance and volatility transmission effects," Working Papers aef_2008_01, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:acctwp:aef_2008_01
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    More about this item

    Keywords

    volatility transmission; dynamic hedging; optimal hedge ratio; S&P 500;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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