Data/hora: 11/06/2024 03:26:42

Provedor de dados: | 31
País: | United States
Título: | COMBINING TIME-VARYING AND DYNAMIC MULTI-PERIOD OPTIMAL HEDGING MODELS
Autores: | Haigh,   Michael S.; Holt,   Matthew T.
Data: | 2002-06-11
Ano: | 2002
Palavras-chave: | Marketing.
Resumo: | This paper presents an effective way of combining two popular, yet distinct approaches used in the hedging literature – dynamic programming (DP) and time-series (GARCH) econometrics.  Theoretically consistent yet realistic and tractable models are developed for traders interested in hedging a portfolio.  Results from a bootstrapping experiment used to construct confidence bands around the competing portfolios suggest that while DP-GARCH outperforms the GARCH approach they are statistically equivalent to the OLS approach when the markets are stable.  Significant gains may be achieved by a trader, however, by adopting the DP–GARCH model over the OLS approach when markets exhibit excessive volatility.
Tipo: | Working or Discussion Paper
Idioma: | Inglês

Identificador:

4809

http://purl.umn.edu/28593

Editor: | AgEcon Search

Relação:

University of Maryland&gt;Department of Agricultural and Resource Economics&gt;Working Papers

Working Paper  WP 02-08

Formato:

48

application/pdf