✦ LIBER ✦

A note on the performance of regime switching hedge strategy

✍ Scribed by Donald Lien

Publisher: John Wiley and Sons
Year: 2011
Tongue: English
Weight: 105 KB
Volume: 32
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20520

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

We characterize conditions under which the regime switching (RS) hedge strategy will perform better than the ordinary least squares (OLS) hedge strategy. The result can be extended to the case where the GARCH effects prevail. Specifically, these conditions would allow the RS‐GARCH hedge strategy to dominate both OLS and GARCH hedge strategies. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark

📜 SIMILAR VOLUMES

A further note on the optimality of the

A further note on the optimality of the OLS hedge strategy

✍ Donald Lien 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 226 KB 👁 1 views

## Abstract This note considers the hedging effectiveness of a dynamic hedge strategy as compared to the conventional OLS strategy. The conditions for the superiority of the OLS strategy are identified. It is argued that these conditions are frequently satisfied and therefore one expects to find th

A note on the relationship between the v

A note on the relationship between the variability of the hedge ratio and hedging performance

✍ Donald Lien 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 67 KB 👁 2 views

## Abstract This note provides an analysis to examine the conjecture about the monotonic relationship between hedge ratio variability and hedging performance. Specific conditions are characterized to sustain the conjecture. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark

Regime switching in stock index and futu

Regime switching in stock index and futures markets: a note on the NIKKEI evidence

✍ Angelos Kanas 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 95 KB

## Abstract Using a time‐varying regime‐switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time‐varying and dependent upon the basis, the interest rate, the volatility of the

A note on estimating the benefit of a co

A note on estimating the benefit of a composite hedge

✍ Donald Lien 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 80 KB 👁 2 views

A note on the superiority of the OLS hed

A note on the superiority of the OLS hedge ratio

✍ Donald Lien 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 80 KB 👁 2 views

Suppose that spot and futures prices are generated from an errorcorrection model. This note demonstrates that, although the OLS model is misspecified, it provides a hedge ratio that usually outperforms the hedge ratio derived from the correct error-correction model. The opposite result is possible o

A note on the derivation of Black-Schole

A note on the derivation of Black-Scholes hedge ratios

✍ Tie Su 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 59 KB 👁 2 views

## Abstract An option hedge ratio is the sensitivity of an option price with respect to price changes in the underlying stock. It measures the number of shares of stocks to hedge an option position. This article presents a simple derivation of the hedge ratios under the Black‐Scholes option‐pricing