A new dynamic hedging model with futures : the Kalman filter error-correction model
Year of publication: |
2020
|
---|---|
Authors: | Wang, Chien-Ho ; Lin, Chang-Ching ; Lin, Shu-Hui ; Lai, Hung-Yu |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019/2020, 4, p. 61-78
|
Subject: | Kalman filter (KF) | state-space model (SSM) | common stochastic trend | error-correction model (ECM) | dynamic hedging performance | Theorie | Theory | Zustandsraummodell | State space model | Hedging | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Schätzung | Estimation |
-
Mazur, Michael E., (2013)
-
Cointegration analysis with mixed-frequency data
Seong, Byeongchan, (2007)
-
Tax smoothing hypothesis : a Turkish case
Turan, Taner, (2014)
- More ...
-
Shiu, Yung-ming, (2010)
-
Shiu, Yung-Ming, (2010)
-
A Family Member or Professional Management? The Choice of a CEO and Its Impact on Performance
Lin, Shu-hui, (2007)
- More ...