Combining the effects of OLS and spread on futures hedging : evidence fromthe Taiwan stock index
Year of publication: |
2014
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Authors: | Wu, Ting-Yi |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 50.2014, Suppl.5, p. 214-228
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Subject: | dynamic hedge ratio | hedge effectiveness | high-order moment | mean-variance utility | spread | Hedging | Taiwan | Theorie | Theory | Index-Futures | Index futures | Derivat | Derivative | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
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