The hedging effectiveness of single stock futures : a study using constant and time-varying hedge ratios under GARCH modeling
This study investigates the hedging effectiveness of Universal Stock Futures trading in London at protecting the underlying spot position from variations in portfolio returns using four different hedge ratios. The hedge ratios under analysis are: the naive 1:1 hedge ratio, the risk-minimizing hedge...
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2005
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| Online Access: | http://spectrum.library.concordia.ca/8620/1/MR10335.pdf Senez, Nathalie <http://spectrum.library.concordia.ca/view/creators/Senez=3ANathalie=3A=3A.html> (2005) The hedging effectiveness of single stock futures : a study using constant and time-varying hedge ratios under GARCH modeling. Masters thesis, Concordia University. |
Internet
http://spectrum.library.concordia.ca/8620/1/MR10335.pdfSenez, Nathalie <http://spectrum.library.concordia.ca/view/creators/Senez=3ANathalie=3A=3A.html> (2005) The hedging effectiveness of single stock futures : a study using constant and time-varying hedge ratios under GARCH modeling. Masters thesis, Concordia University.