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

Chng, Michael T. and Gannon, Gerard L. 2008, The trading performance of dynamic hedging models: time varying covariance and volatility transmission effects, Deakin University, School of Accounting, Economics and Finance, Geelong, Vic..

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Title The trading performance of dynamic hedging models: time varying covariance and volatility transmission effects
Author(s) Chng, Michael T.
Gannon, Gerard L.
Publication date 2008
Series School Working Paper - Accounting/Finance Series ; SWP 2008/1
Total pages 33
Publisher Deakin University, School of Accounting, Economics and Finance
Place of publication Geelong, Vic.
Keyword(s) G14
G28
volatility transmission
dynamic hedging
optimal hedge ratio
S&P 500
RePEc:dkn:acctwp:aef_2008_01
Language eng
HERDC Research category CN.1 Other journal article
Copyright notice ©2008, The Authors
Persistent URL http://hdl.handle.net/10536/DRO/DU:30105577

Document type: Report
Collection: RePEc Working Papers
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