Risk Minimization and Trading Performance of Dynamic Hedging Models:Time Varying Covariance and Volatility Transmission Effects
作者： Gerard L. Gannon , Michael Chng
DOI: 10.2139/SSRN.268103
关键词:
摘要: The analysis undertaken in this research is a first attempt to comprehensively model all four S&P500 markets simultaneously. Synchronously sampled half-hourly observations are generated from transaction data for these financial assets. Special classes of Simultaneous Volatility (SVL) structures and GARCH models the variance/covariance matrix variants augmented with parallel market volatility effects compared. These dynamically estimated minimize out sample portfolio risk generate hedge ratios evaluations. SVL dominates competing terms trading profits performance substantial.
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