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- W3121903676 abstract "A growing number of studies reveal that the performance of dynamic hedging strategies tends to vary across markets, producing large percentage reductions in variance in some and seemingly small reductions in others, relative to constant hedges. This paper examines the hedging effectiveness of Toronto 35 index futures contract and shows that the implemetation of a dynamic strategy exploiting the time-varying nature of the joint dynamics of the futures contract and the underlying stock index modeled with the bivariate GARCH(1,1) process yields economically significant in-sample and out-of-sample improvements in risk reduction, compared to static hedging strategy." @default.
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- W3121903676 date "2004-09-20" @default.
- W3121903676 modified "2023-09-27" @default.
- W3121903676 title "The Benefits of Dynamically Hedging the Toronto 35 Stock Index" @default.
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