Evaluating the performance of futures hedging using factors-driven realized volatility
Xing Yu, Yanyan Li, Xue Gong, Nan Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Yu, Xing ; Li, Yanyan ; Gong, Xue ; Zhang, Nan |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 84.2022, p. 1-14
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| Subject: | Ex-ante-hedge-ratio | Factors-driven realized volatilities | Hedging effectiveness | Out-of-sample forecasting | Volatilität | Volatility | Hedging | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102412 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013472972