Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures PDF Download
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Author: Taufiq Choudhry Publisher: ISBN: Category : Languages : en Pages : 23
Book Description
This paper investigates the hedging effectiveness of Australian, Hong Kong and Japanese stock futures markets. For each market two sets of futures indices are used in the empirical tests. Effectiveness of four different hedging ratios depending on different estimation procedures are investigated. The unhedged, the traditional hedge and the minimum variance hedge ratios are all constant while the bivariate GARCH hedge ratio is time-varying. The effectiveness of the hedge ratio are compared by investigating the out-of-sample performance of the four ratios. The whole sample consist of daily returns from January 1990 to December 1998. Two out-of-sample periods are used January1997 to December 1998 (two years) and from January 1998 to December 1998 (one year). Results show that the time-varying GARCH hedge ratio out-performs the constant ratios in most of the cases but not all. This is true using both out-of-sample periodsKeyWords: Hedge Ratio, Bivariate GARCH, Cash Index, Futures Index, Variance.
Author: Taufiq Choudhry Publisher: ISBN: Category : Languages : en Pages : 23
Book Description
This paper investigates the hedging effectiveness of Australian, Hong Kong and Japanese stock futures markets. For each market two sets of futures indices are used in the empirical tests. Effectiveness of four different hedging ratios depending on different estimation procedures are investigated. The unhedged, the traditional hedge and the minimum variance hedge ratios are all constant while the bivariate GARCH hedge ratio is time-varying. The effectiveness of the hedge ratio are compared by investigating the out-of-sample performance of the four ratios. The whole sample consist of daily returns from January 1990 to December 1998. Two out-of-sample periods are used January1997 to December 1998 (two years) and from January 1998 to December 1998 (one year). Results show that the time-varying GARCH hedge ratio out-performs the constant ratios in most of the cases but not all. This is true using both out-of-sample periodsKeyWords: Hedge Ratio, Bivariate GARCH, Cash Index, Futures Index, Variance.
Author: G. Gregoriou Publisher: Springer ISBN: 0230295223 Category : Business & Economics Languages : en Pages : 216
Book Description
This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.
Author: Charles M.S. Sutcliffe Publisher: Routledge ISBN: 1351148559 Category : Business & Economics Languages : en Pages : 534
Book Description
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Author: Kumar, Jeetesh Publisher: IGI Global ISBN: Category : Computers Languages : en Pages : 361
Book Description
Imagine a world where the digital and physical worlds intertwine seamlessly - this is the metaverse. This complex digital environment has the potential to revolutionize our lives in a multitude of ways. Yet the lack of standardized frameworks and guidelines creates a fragmented ecosystem with varying levels of security, privacy, and usability that can hinder the integration of the metaverse into our daily lives in cohesive, safe, and beneficial ways. Research, Innovation, and Industry Impacts of the Metaverse offers a comprehensive solution to the challenges posed by the metaverse. It serves as a roadmap for researchers, academics, and practitioners by providing a structured framework for exploring the metaverse. It covers foundational technologies, academic research, real-world applications, and challenges, offering insights into defining the metaverse, its technologies, and future potential. The book equips readers with the knowledge and tools needed to navigate the complexities of the metaverse and contribute to its responsible development. Showcasing the latest research contributions, this book initiates academic discourse and innovation. It fosters interdisciplinary collaboration, ensuring a holistic understanding of the metaverse's impact on society, education, commerce, and more, while empowering readers to harness the metaverse's full potential.
Author: Manolis G. Kavussanos Publisher: ISBN: 9781856093101 Category : Derivate securities Languages : en Pages : 392
Book Description
In a multi-million dollar industry such as shipping even small currency fluctuations can have significant effects on investments. Further factors such as commodities i.e. steel, oil and gas and their consistancy of supply add to the risks in this highly capital intensive industry.
Author: Qi Li Publisher: Princeton University Press ISBN: 1400841062 Category : Business & Economics Languages : en Pages : 769
Book Description
A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.
Author: Cheng Few Lee Publisher: World Scientific Publishing Company ISBN: 9814458902 Category : Business & Economics Languages : en Pages : 1190
Book Description
Security Analysis, Portfolio Management, and Financial Derivatives integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced principles. Topic coverage is especially broad: in analyzing securities, the authors look at stocks and bonds, options, futures, foreign exchange, and international securities. The discussion of financial derivatives includes detailed analyses of options, futures, option pricing models, and hedging strategies. A unique chapter on market indices teaches students the basics of index information, calculation, and usage and illustrates the important roles that these indices play in model formation, performance evaluation, investment strategy, and hedging techniques. Complete sections on program trading, portfolio insurance, duration and bond immunization, performance measurements, and the timing of stock selection provide real-world applications of investment theory. In addition, special topics, including equity risk premia, simultaneous-equation approach for security valuation, and Itô's calculus, are also included for advanced students and researchers.
Author: Charles M.S. Sutcliffe Publisher: Routledge ISBN: 1351148540 Category : Business & Economics Languages : en Pages : 844
Book Description
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Author: Taufiq Choudhry
Author: Taufiq Choudhry
Author: Kenneth F. Kroner
Author: G. Gregoriou
Author: Charles M.S. Sutcliffe
Author: 
Author: Kumar, Jeetesh
Author: Manolis G. Kavussanos
Author: Qi Li
Author: Cheng Few Lee
Author: Charles M.S. Sutcliffe