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Evaluation and Comparison in Hedging with Various Dyamic Conditional Correlation Models for Asian Stock Index Futures Markets

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Abstract

[[abstract]]This paper compares the hedging effect for four stock index futures (including Hang-Seng Index Nikkei 225 Index Taiwan Weighted Stock Index and KOSPI 200 Index) to four stock index Using ordinary least squares (OLS) method and the dynamic conditional correlation model to estimate the optimal hedge ratios Based on minimizing hedging portfolio variances we expect that the hedging performance of the DCC-CARR model outperforms the others in this study

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