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المؤلفNekhili, Ramzi
المؤلفMiniaoui, Hela
تاريخ الإتاحة2019-04-25T05:26:07Z
تاريخ النشر2017-05
اسم المنشورInternational Research Journal of Finance and Economics
الاقتباسNekhili, Ramzi. Miniaoui, Hela. Dynamic Parametric and Nonparametric Hedging: Evidence from the Arab Gulf Equity Markets, 2017, International Research Journal of Finance and Economics, EuroJournals,1450-2887, 161, 7-17.
الرقم المعياري الدولي للكتاب1450-2887
معرّف المصادر الموحدhttp://hdl.handle.net/10576/11504
الملخصThis paper examines the optimal hedging strategies in the Arab Gulf equity markets using a parametric and a nonparametric dynamic approaches in modeling the conditional variances and covariances of equity returns. The parametric approach is based on a multivariate VAR-GARCH model of daily returns, with BEKK specification of Engle and Kroner (1995), and the nonparametric approach adopts a dynamic system based on Filtered Historical Simulation (FHS) of Barone-Adesi et al. (1999) and nonparametric regression. These approaches are then used to calculate optimal portfolio weights and optimal ratios of hedging long and short positions in the Gulf Cooperation Council major sectors, namely, Service, Financial and Industrial. The results show that the nonparametric approach provides higher hedging effectiveness and hence superior hedging strategies.
اللغةen
الناشرEuroJournals
الموضوعMultivariate GARCH
Filtered Historical Simulation
Optimal Hedging
العنوانDynamic Parametric and Nonparametric Hedging: Evidence from the Arab Gulf Equity Markets
النوعArticle
الصفحات7-17
رقم العدد161
dc.accessType Open Access


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