Estimation and hedging effectiveness of time-varying hedge ratio : flexible bivariate GARCH approaches
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: | Hedging | ARCH-Modell | ARCH model | Schätzung | Estimation | Volatilität | Volatility | Börsenkurs | Share price | Theorie | Theory | Futures |
-
Rout, Bhabani Sankar, (2021)
-
Zhang, Yuanyuan, (2015)
-
Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
Dark, Jonathan, (2015)
- More ...
-
Kim, Myeong Jun, (2015)
-
Determinants of volatility on international tourism demand for South Korea : an empirical note
Park, Sung Y., (2010)
-
Holzhausen, Arne, (2001)
- More ...