Conditional volatility forecasting in a dynamic hedging model
Year of publication: |
2005
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Authors: | Haigh, Michael S. |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 24.2005, 3, p. 155-172
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Subject: | Hedging | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Geld-Brief-Spanne | Bid-ask spread | ARCH-Modell | ARCH model | Dynamische Optimierung | Dynamic programming | Theorie | Theory |
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