Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures
Yang (Greg) Hou and Mark Holmes
| Year of publication: |
2020
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|---|---|
| Authors: | Hou, Yang ; Holmes, Mark J. |
| Published in: |
Australian journal of management. - London : Sage, ISSN 1327-2020, ZDB-ID 2011797-8. - Vol. 45.2020, 2, p. 240-265
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| Subject: | Conditional skewness and kurtosis | dynamic minimum-variance hedging | hedging effectiveness | multivariate GARCH models | skew-Student density | Hedging | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Index-Futures | Index futures | Kapitaleinkommen | Capital income | Theorie | Theory | Volatilität | Volatility | USA | United States | Aktienindex | Stock index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/0312896219879974 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012216958