首页 | 本学科首页   官方微博 | 高级检索  
     检索      


A note on asymmetric stochastic volatility and futures hedging
Authors:Donald Lien
Abstract:This note incorporates asymmetric responses to good and bad news within a stochastic volatility framework. It is shown that the asymmetry leads to a greater average optimal hedge ratio. Moreover, the ratio increases with increasing degree of asymmetry. On the other hand, asymmetry has no impact on the hedging performance. The result is consistent with the empirical finding of Brooks, Henry, and Persand (2002) where GARCH models are employed. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:607–612, 2005
Keywords:
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号