Dynamic hedging strategy in incomplete market : evidence from Shanghai fuel oil futures market
Year of publication: |
2014
|
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Authors: | Lin, Xiaoqiang ; Chen, Qiang ; Tang, Zhenpeng |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 40.2014, p. 81-90
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Subject: | Multivariate GARCH model | Optimal hedge ratio | Market noise conditional volatility | Hedging | Volatilität | Volatility | ARCH-Modell | ARCH model | Unvollkommener Markt | Incomplete market | Schätzung | Estimation | Rohstoffderivat | Commodity derivative | Shanghai | Ölpreis | Oil price |
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