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Author : Wenling Yang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (225 download)
Download or read book M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets written by Wenling Yang and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles Vince
Publisher :
ISBN 13 :
Total Pages : 148 pages
Book Rating : 4.:/5 (225 download)
Download or read book The Hedging Effectiveness of Optimal Hedge Ratios in the Australian Futures Market written by Charles Vince and published by . This book was released on 2003 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Taufiq Choudhry
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (129 download)
Download or read book Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures written by Taufiq Choudhry and published by . This book was released on 2001 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the hedging effectiveness of Australian, Hong Kong and Japanese stock futures markets. For each market two sets of futures indices are used in the empirical tests. Effectiveness of four different hedging ratios depending on different estimation procedures are investigated. The unhedged, the traditional hedge and the minimum variance hedge ratios are all constant while the bivariate GARCH hedge ratio is time-varying. The effectiveness of the hedge ratio are compared by investigating the out-of-sample performance of the four ratios. The whole sample consist of daily returns from January 1990 to December 1998. Two out-of-sample periods are used January1997 to December 1998 (two years) and from January 1998 to December 1998 (one year). Results show that the time-varying GARCH hedge ratio out-performs the constant ratios in most of the cases but not all. This is true using both out-of-sample periodsKeyWords: Hedge Ratio, Bivariate GARCH, Cash Index, Futures Index, Variance.
Download or read book Hedge Ratios and Hedging Effectiveness of the SPI Futures Contract written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nathalie Senez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book The Hedging Effectiveness of Single Stock Futures written by Nathalie Senez and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David E. Allen
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (129 download)
Download or read book Using Regression Techniques to Estimate Futures Hedge Ratios, Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures written by David E. Allen and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper uses Australian bond futures data from the Sydney Futures Exchange to critically assess some of the potential problems involved in the use of cointegration techniques in the calculation of minimum variance hedge ratios. Following Ghosh (1993a,b) there have been a number of papers which have made use of these techniques. Ghosh (1993), and Lien (1996) suggest that if spot and futures prices are cointegrated then the non-inclusion of an error correction term in the VAR model used to estimate the hedge ratio will lead to mis-specification problems and the under-estimation of the true optimal hedge ratio. We examine the use of such regression techniques in the calculation of hedge ratios.In particular we consider the extent to which the stacking of the data into a time series, which effectively constrains the estimated hedge ratio to a single value over the span of the data, influences the results of such techniques. If the hedge ratio differs by contract, the movement from one contract to the next is likely to lead to instability in the estimated regression coefficients. Tests for parameter instability in the estimated regression suggest that this is indeed the case and our conclusion is that it is preferable to consider the estimation of the hedge ratio in a panel setting with each individual contract considered as an observational unit. One problem in the past with such a move has been the lack of tests for cointegration and unit roots in such a setting, fortunately these are now available and we take advantage of them in this paper. In such a panel setting we find that the result that the spot and futures prices are cointegrated still holds but that the estimated hedge ratios are not constant between contracts, throwing doubt on the applicability of regression methods which make such an assumption.
Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 0470997893
Total Pages : 427 pages
Book Rating : 4.4/5 (79 download)
Download or read book Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-06-09 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.
Author : Yi Ding
Publisher :
ISBN 13 :
Total Pages : 74 pages
Book Rating : 4.:/5 (467 download)
Download or read book Hedge Ratio Estimation and Hedging Effectiveness in China's Index Futures Market written by Yi Ding and published by . This book was released on 2008 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brajesh Kumar
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Hedging Effectiveness of Constant and Time Varying Hedge Ratio in Indian Stock and Commodity Futures Markets written by Brajesh Kumar and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines hedging effectiveness of futures contract on a financial asset and commodities in Indian markets. In an emerging market context like India, the growth of capital and commodity futures market would depend on effectiveness of derivatives in managing risk. For managing risk, understanding optimal hedge ratio is critical for devising effective hedging strategy. We estimate dynamic and constant hedge ratio for Samp;P CNX Nifty index futures, Gold futures and Soybean futures. Various models (OLS, VAR, and VECM) are used to estimate constant hedge ratio. To estimate dynamic hedge ratios, we use VAR-MGARCH. We compare in-sample and out-of-sample performance of these models in reducing portfolio risk. It is found that in most of the cases, VAR-MGARCH model estimates of time varying hedge ratio provide highest variance reduction as compared to hedges based on constant hedge ratio. Our results are consistent with findings of Myers (1991), Baillie and Myers (1991), Park and Switzer (1995a,b), Lypny and Powella (1998), Kavussanos and Nomikos (2000), Yang (2001), and Floros and Vougas (2006).
Author :
Publisher :
ISBN 13 : 9780729804547
Total Pages : 32 pages
Book Rating : 4.8/5 (45 download)
Download or read book Using Regression Techniques to Estimate Futures Hedge Ratios written by and published by . This book was released on 1999 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles M.S. Sutcliffe
Publisher : Routledge
ISBN 13 : 1351148559
Total Pages : 534 pages
Book Rating : 4.3/5 (511 download)
Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Author : Sheraz Ahmed
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (129 download)
Download or read book Effectiveness of Time-Varying Hedge Ratio with Constant Conditional Correlation written by Sheraz Ahmed and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study demonstrates how hedging methodologies can be evaluated in a modern risk management context and provides a hedging effectiveness of dynamic hedge ratios. The results provide an indication of the superior performance of the time varying hedge ratio as compared with traditional constant ratio. Time varying hedge ratio estimated by CCC-GARCH model shows a clear advantage over linear regression based constant hedge ratio in minimizing the variance (risk) of portfolio returns over the whole 10 years of analysis. The time-varying hedge ratio estimated in our study provides an efficient measure for bond investors to maximize the value of their investments by changing positions in both spot and future markets of U.S. Treasuries with the change in actual yields of cash market. The results are robust in the sense that constant conditional correlation model does take account of the conditional heteroskedasticity present in the data in case of spot market.
Author : Marianne Frisen
Publisher : John Wiley & Sons
ISBN 13 : 9780470987162
Total Pages : 272 pages
Book Rating : 4.9/5 (871 download)
Download or read book Financial Surveillance written by Marianne Frisen and published by John Wiley & Sons. This book was released on 2008-02-28 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book-length treatment of statistical surveillance methods used in financial analysis. It contains carefully selected chapters written by specialists from both fields and strikes a balance between the financial and statistical worlds, enhancing future collaborations between the two areas, and enabling more successful prediction of financial market trends. The book discusses, in detail, schemes for different control charts and different linear and nonlinear time series models and applies methods to real data from worldwide markets, as well as including simulation studies.
Author : Enrique Salvador
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Sudden Changes in Variance and Time Varying Hedge Ratios written by Enrique Salvador and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the influence of sudden changes in the unconditional volatility on the estimation and forecast of volatility and its impact on futures hedging strategies. We employ several multivariate GARCH models to estimate the optimal hedge ratios for the Spanish stock market including in each one some well-known patterns that may affect volatility forecasts (asymmetry and sudden changes). The main empirical results show that more complex models including sudden changes in volatility outperform the simpler models in hedging effectiveness both with in-sample and out-of-sample analysis. However, the evidence is stronger when the tail loss distribution is used as a measure for the effectiveness Value at Risk (VaR) and Expected Shortfall (ES) suggesting that traditional measures based on the variance of the hedge portfolio should be used with caution.
Author : Dimitris Kenourgios
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book Hedge Ratio Estimation and Hedging Effectiveness written by Dimitris Kenourgios and published by . This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the hedging effectiveness of the Standard amp; Poor's (Samp;P) 500 stock index futures contract using weekly settlement prices for the period July 3rd, 1992 to June 30th, 2002. Particularly, it focuses on three areas of interest: the determination of the appropriate model for estimating a hedge ratio that minimizes the variance of returns; the hedging effectiveness and the stability of optimal hedge ratios through time; an in-sample forecasting analysis in order to examine the hedging performance of different econometric methods. The hedging performance of this contract is examined considering alternative methods, both constant and time-varying, for computing more effective hedge ratios. The results suggest the optimal hedge ratio that incorporates nonstationarity, long run equilibrium relationship and short run dynamics is reliable and useful for hedgers. Comparisons of the hedging effectiveness and in-sample hedging performance of each model imply that the error correction model (ECM) is superior to the other models employed in terms of risk reduction. Finally, the results for testing the stability of the optimal hedge ratio obtained from the ECM suggest that it remains stable over time.
Author : Enrique Salvador
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Measuring the Hedging Effectiveness of Index Futures Contracts written by Enrique Salvador and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates linear and non-linear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing non-linearities through a regime-switching model, we can obtain more efficient hedge ratios and superior hedging performance in both in- and out-sample analysis compared with other methods (constant hedge ratios and linear GARCH). Moreover, the non-linear models also reflect different patterns followed by the dynamic relationship between the volatility of spot and futures returns during low and high volatility periods.
Author : Bishnupriya Mishra
Publisher : Excel Books India
ISBN 13 : 9788174466051
Total Pages : 228 pages
Book Rating : 4.4/5 (66 download)
Download or read book Indian Stock Market written by Bishnupriya Mishra and published by Excel Books India. This book was released on 2008 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Indian Capital Market is considered the second largest capital market in the world next only to the United States of America. Stock Markets in India have grown exponentially as measured in terms of the number of listed companies, market capitalization, turnover on stock exchanges, price indices and others. In terms of reforms and development, the Indian stock market has been the fastest to grab every opportunity presented by the paradigm shift in India's economic policy. A well-organized and well-regulated capital market facilitates sustainable development of the economy by providing long-term funds in exchange for financial assets to investors. This book is based on a collection of chapter-contributions from leading academicians on relevant, authoritative and thought provoking aspects of Indian Stock Market. It contains both conceptual and empirical studies so as to enable the reader to acquire a holistic view of the subject. This book is designed to meet the requirements of MBA students specializing in the area of Finance, students of CA/ICWA, students of M.Com/B.Com, academicians, researchers, practitioners and investors in general.
