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An examination of dynamic hedging

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  • Tong, Wilson H. S.
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-3VW1CGR-2/2/2ccb7ba0afec9d866e4360a5ea3ea658
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 15 (1996)
    Issue (Month): 1 (February)
    Pages: 19-35

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    Handle: RePEc:eee:jimfin:v:15:y:1996:i:1:p:19-35

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    Web page: http://www.elsevier.com/locate/inca/30443

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    1. Howard, Charles T. & D'Antonio, Louis J., 1984. "A Risk-Return Measure of Hedging Effectiveness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(01), pages 101-112, March.
    2. Kroner, Kenneth F. & Sultan, Jahangir, 1993. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 535-551, December.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    5. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    6. Benjamin M. Friedman & Kenneth N. Kuttner, 1988. "Time-Varying Risk Perceptions and the Pricing of Risky Assets," NBER Working Papers 2694, National Bureau of Economic Research, Inc.
    7. Eaker, Mark & Grant, Dwight & Woodard, Nelson, 1991. "International diversification and hedging: A Japanese and U.S. perspective," Journal of Economics and Business, Elsevier, vol. 43(4), pages 363-374, November.
    8. Hakansson, Nils H, 1970. "Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions," Econometrica, Econometric Society, vol. 38(5), pages 587-607, September.
    9. Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-96, December.
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    Cited by:
    1. Patrick McGlenchy & Paul Kofman, 2004. "Structurally Sound Dynamic Index Futures Hedging," Econometric Society 2004 Australasian Meetings 80, Econometric Society.
    2. Michael S. Haigh & Matthew T. Holt, 2002. "Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 269-289.
    3. Anil K. Bera & Philip Garcia & Jae-Sun Roh, 1997. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches," Finance 9712007, EconWPA.

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