Measuring the hedging effectiveness of index futures contracts: Do dynamic models outperform static models? A regime-switching approach
Ver/ Abrir
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
comunitat-uji-handle4:
INVESTIGACIONMetadatos
Título
Measuring the hedging effectiveness of index futures contracts: Do dynamic models outperform static models? A regime-switching approachFecha de publicación
2015-07-06ISSN
0270-7314Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://onlinelibrary.wiley.com/doi/10.1002/fut.21598/fullVersión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
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 ... [+]
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-sample and out-sample analysis
compared with other methodologies (constant hedge ratios and linear GARCH).
Moreover, 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. [-]
Publicado en
Journal of Futures Markets, 2014, 34.4: 374-398Derechos de acceso
© 2013 Wiley Periodicals, Inc.
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/openAccess
http://rightsstatements.org/vocab/InC/1.0/
info:eu-repo/semantics/openAccess
Aparece en las colecciones
- COFIN_Articles [218]