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Can I read Dynamic hedging of paper with T bill futures on EtoBox?
Dynamic hedging of paper with T bill futures by Koutmos, Gregory; Pericli, Andreas is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Dynamic hedging of paper with T bill futures about?
Despite the growing importance of the commercial paper market there is no empirical work investigating the hedging performance of dynamic hedging strategies versus traditional static hedging strategies. This article proposes a dynamic hedging model for commercial paper that takes advantage of time dependencies present in the joint density of commercial paper and T-bill futures. The hedging effectiveness of the dynamic model is compared to that of the static regression model. There is clear evidence that dynamic hedging is superior to static hedging in terms of both total variance reduction and expected utility maximization. These results hold even when transactions costs are explicitly taken into account.
Who reads Dynamic hedging of paper with T bill futures?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Koutmos, Gregory; Pericli, Andreas
- Publisher
- John Wiley and Sons; Wiley (John Wiley & Sons); John Wiley & Sons Inc.; Wiley (ISSN 0270-7314)
- Published
- 1998
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)