A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
Year of publication: |
November 2017
|
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Authors: | Lai, Yu-Sheng ; Sheu, Her-jiun ; Lee, Hsiang-Tai |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 37.2017, 11, p. 1124-1140
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Subject: | Futures | Hedging | Volatilität | Volatility | Elektronisches Handelssystem | Electronic trading | Simulation | ARCH-Modell | ARCH model | USA | United States | 2002-2011 |
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