A Markov regime-switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
Year of publication: |
2022
|
---|---|
Authors: | Lee, Hsiang-Tai |
Subject: | Cholesky GARCH | futures hedging | Markov regime switching | optimal hedge ratio | ARCH-Modell | ARCH model | Hedging | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Schätzung | Estimation |
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