A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
Hsiang-tai Lee and Jonathan K. Yoder
| Year of publication: |
2007
|
|---|---|
| Authors: | Lee, Hsiang-tai ; Yoder, Jonathan K. |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 39.2007, 10/12, p. 1253-1265
|
| Subject: | Hedging | Schätzung | Estimation | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Mais | Maize | Nickel | Rohstoffderivat | Commodity derivative | Theorie | Theory | USA | United States | Großbritannien | United Kingdom | 1991-2004 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003511726