Registro completo |
Provedor de dados: |
AgEcon
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País: |
United States
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Título: |
COMBINING TIME-VARYING AND DYNAMIC MULTI-PERIOD OPTIMAL HEDGING MODELS
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Autores: |
Haigh, Michael S.
Holt, Matthew T.
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Data: |
2002-06-11
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Ano: |
2002
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Palavras-chave: |
Marketing
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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 DPGARCH model over the OLS approach when markets exhibit excessive volatility.
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Tipo: |
Working or Discussion Paper
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Idioma: |
Inglês
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Identificador: |
4809
http://purl.umn.edu/28593
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Editor: |
AgEcon Search
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Relação: |
University of Maryland>Department of Agricultural and Resource Economics>Working Papers
Working Paper WP 02-08
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Formato: |
48
application/pdf
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