𝔖 Bobbio Scriptorium
✦   LIBER   ✦

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

✍ Scribed by Sally C. Yeh; Gerard L. Gannon

Book ID
110261581
Publisher
Springer US
Year
2000
Tongue
English
Weight
55 KB
Volume
14
Category
Article
ISSN
0924-865X

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

A note on the performance of regime swit
A note on the performance of regime switching hedge strategy
✍ Donald Lien πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 105 KB πŸ‘ 1 views

## 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

Interest rate volatility, trading volume
Interest rate volatility, trading volume, and the hedging performance of T-bond and GNMA futuresβ€”A note
✍ Shantaram P. Hegde; Kenneth P. Nunn Jr. πŸ“‚ Article πŸ“… 1985 πŸ› John Wiley and Sons 🌐 English βš– 728 KB

he volatility of interest rates has increased markedly since October of 1979, T leading to a tremendous surge in the volume of trading in interest rate futures. Investigating the effects of the increased volume on the hedging peaormance of futures contracts, Hegde (1982) finds that the hedging effe

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 πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 67 KB πŸ‘ 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. Β© 2010 Wiley Periodicals, Inc. Jrl Fut Mark

The compatibility of one-factor market m
The compatibility of one-factor market models in caps and swaptions markets: Evidence from their dynamic hedging performance
✍ Yunbi An; Wulin Suo πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 310 KB πŸ‘ 1 views

## Abstract This study examines the dynamic hedging performance of the one‐factor LIBOR and swap market models in both caps and swaptions markets, using a procedure similar to the way that these models are used in practice. The effects of different calibration methods on model performance are inves