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Multiperiod hedging in the presence of stochastic volatility

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  • Lien, Donald
  • Wilson, Bradley K.
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    File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(01)00060-6
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 10 (2001)
    Issue (Month): 4 ()
    Pages: 395-406

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    Handle: RePEc:eee:finana:v:10:y:2001:i:4:p:395-406
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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    1. Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen, . "EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Computing in Economics and Finance 1997 6, Society for Computational Economics.
    2. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1993. "A utility based comparison of some models of exchange rate volatility," International Finance Discussion Papers 441, Board of Governors of the Federal Reserve System (U.S.).
    3. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
    4. John F. Geweke, 1994. "Bayesian comparison of econometric models," Working Papers 532, Federal Reserve Bank of Minneapolis.
    5. P. V. Viswanath, 1993. "Efficient use of information, convergence adjustments, and regression estimates of hedge ratios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(1), pages 43-53, 02.
    6. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
    7. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.
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    Cited by:

    1. John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Papers 1103.5411, arXiv.org.
    2. In, Francis & Kim, Sangbae, 2006. "Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 411-423, October.
    3. Viviana Fernández, 2007. "Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement," Documentos de Trabajo 242, Centro de Economía Aplicada, Universidad de Chile.
    4. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    5. Bhar, Ramaprasad & Hammoudeh, Shawkat & Thompson, Mark A., 2008. "Component structure for nonstationary time series: Application to benchmark oil prices," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 971-983, December.
    6. Mara Madaleno & Carlos Pinho, 2010. "Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 3(1), pages 26, December.
    7. Fu, Junhui, 2014. "Multi-objective hedging model with the third central moment and the capital budget," Economic Modelling, Elsevier, vol. 36(C), pages 213-219.

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