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首页> 外文期刊>Borsa Istanbul Review >Dynamic model for hedging of the European stock sector with credit default swaps and EURO STOXX 50 volatility index futures
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Dynamic model for hedging of the European stock sector with credit default swaps and EURO STOXX 50 volatility index futures

机译：信用违约掉期和EURO STOXX 50波动率指数期货对冲欧洲股票行业的动态模型

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摘要

In this paper, the time-varying correlations are estimated for the purpose of examining whether CDS can act as a hedge and safe haven for the European stock sectors. Similarly, the implications for portfolio design are also evaluated on daily and weekly data span bases, concerning the period ranging from December 2007 to September 2017. Overall, the empirical results appear to reveal that the safe haven roles associated with the CDS and the portfolio design prove to differ noticeably across the time horizons as well as from one model to another. Likewise, choosing CDS or VSTOXX futures as hedging instrument seem to depend heavily on data frequency and the models applied. The interest lying behind the conduction of such a study is twofold: on the one hand, it should serve as a guide to investors through enabling them to opt for the most effective strategies useful for hedging the stock sectors' relating risks and, on the other hand, to highlight the models’ specifications associated impacts.
机译：在本文中，估算时变相关性是为了检查CDS是否可以充当欧洲股票行业的避险和避风港。同样，还从2007年12月至2017年9月这一期间的每日和每周数据跨度基础上评估了组合设计的含义。总体而言，经验结果似乎表明，与CDS和组合设计相关的安全港角色事实证明，在不同的时间范围内以及从一种模型到另一种模型，其差异都很大。同样，选择CDS或VSTOXX期货作为对冲工具似乎在很大程度上取决于数据频率和所应用的模型。进行此类研究的兴趣是双重的：一方面，它应作为指导投资者，使他们能够选择最有效的策略来对冲与股票部门相关的风险，另一方面手，以突出模型的规格相关的影响。

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