Browsing Departament: Finances i Comptabilitat by Keyword "Dynamic hedging"
Now showing items 1-1 of 1
-
Measuring the hedging effectiveness of index futures contracts: Do dynamic models outperform static models? A regime-switching approach
(2015-07-06)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 ...