Estimation and hedging effectiveness of time-varying hedge ratio : flexible bivariate GARCH approaches
Sung Yong Park; Sang Young Jei
| Year of publication: |
2010
|
|---|---|
| Authors: | Park, Sung Y. ; Jei, Sang Young |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 30.2010, 1, p. 71-99
|
| Subject: | Schätzung | Estimation | ARCH-Modell | ARCH model | Hedging | Börsenkurs | Share price | Volatilität | Volatility | Futures |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003962426