A copula-based regime-switching GARCH model for optimal futures hedging
Hsiang-Tai Lee
| Year of publication: |
2009
|
|---|---|
| Authors: | Lee, Hsiang-tai |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 29.2009, 10, p. 946-972
|
| Subject: | Derivat | Derivative | Hedging | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | USA | United States | 1991-2007 |
| 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/10003900947