Optimal Dynamic Hedging in Selected Markets

Tunahan YILMAZ

doi:https://doi.org/10.33818/ier.839349

Makale detayları

Optimal Dynamic Hedging in Selected Markets

Yazarlar:

Tunahan YILMAZ

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

International Econometric Review 2021 Vol.13 Issue 4, pp.89-117

Belge Tipi:

Makale

Yayın Tarihi:

7/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000717609

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.839349

Özet:

 

This study examines the most optimal hedging portfolio for some selected emerging and developed markets by employing dynamic conditional variances and dynamic conditional covariances. Throughout the study, we used the daily index values of some selected investment instruments. The data contains the period from  02/01/2006 to 01/11/2018.  In this essay, to obtain the most efficient hedging portfolio for each emerging country, firstly, we used Dcc-Figarch specifications to measure volatility. Secondly, we checked the robustness of the model by observing its forecast performance. As out-of-sample forecast performance has an ability to assist empirical evidence to outliers and data mining in a detailed way as well as it reflects better the information available to the forecaster in “real-time” out-of-sample forecasting is more appropriate to be used in this regard. Then, we calculated the mean absolute error (MAE) to detect the most fitted model. Thirdly, we mentioned two methods: Optimal hedge ratio and optimal portfolio weight. These methods are two hedging portfolio implications. Lastly, we will propose an economic rationale behind the results.

Makale detayları

Optimal Dynamic Hedging in Selected Markets

Yazarlar: Tunahan YILMAZ

Yayıncı: Econometric Research Association

Ana Başlıklar: Ekonomi ve Maliye

Dergi: International Econometric Review 2021 Vol.13 Issue 4, pp.89-117

Belge Tipi: Makale

Yayın Tarihi: 7/2022

Belge Dili: İngilizce

Document ID (Org No.): 2000717609

Sıklık: Üç Aylık

eISSN: 1308-8815

pISSN: 1308-8793

DOI: https://doi.org/10.33818/ier.839349

Sayı

Yazarlar:

Tunahan YILMAZ

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

International Econometric Review 2021 Vol.13 Issue 4, pp.89-117

Belge Tipi:

Makale

Yayın Tarihi:

7/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000717609

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.839349