Dynamic hedging performance and downside risk : evidence from Nikkei index futures
Year of publication: |
2018
|
---|---|
Authors: | Ubukata, Masato |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 58.2018, p. 270-281
|
Subject: | Expected shortfall | Optimal hedge ratio | Realized covariance measure | Spectral risk measures | Value-at-risk | Hedging | Risikomaß | Risk measure | Index-Futures | Index futures | Portfolio-Management | Portfolio selection | Messung | Measurement | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
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