A Markov regime-switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
Hsiang-Tai Lee
| Year of publication: |
2022
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|---|---|
| Authors: | Lee, Hsiang-Tai |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 3, p. 389-412
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| Subject: | Cholesky GARCH | futures hedging | Markov regime switching | optimal hedge ratio | ARCH-Modell | ARCH model | Hedging | Markov-Kette | Markov chain | Rohstoffderivat | Commodity derivative | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22286 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012817925