A bivariate high-frequency-based volatility model for optimal futures hedging
Yu-Sheng Lai and Donald Lien
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Lai, Yu-Sheng ; Lien, Da-hsiang Donald |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 37.2017, 9, p. 913-929
|
| Subject: | Futures | Hedging | Kapitalmarktrendite | Capital market returns | Volatilität | Volatility | Elektronisches Handelssystem | Electronic trading | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | Welt | World | 2003-2012 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.21841 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011950909