The trading performance of dynamic hedging models: time varying covariance and volatility transmission effects

Michael T. Chng and Gerard L. Gannon

Working Papers from Deakin University, Department of Economics

Keywords: volatility transmission; dynamic hedging; optimal hedge ratio; S&P 500 (search for similar items in EconPapers)
JEL-codes: G14 G28 (search for similar items in EconPapers)
Date: 2008-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:dkn:acctwp:aef_2008_01

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