Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets
Year of publication: |
2015
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Authors: | Zhang, Yuanyuan ; Choudhry, Taufiq |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 4/6, p. 376-399
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Subject: | forecasting | hedge ratio | GARCH | futures market | volatility | Schätzung | Estimation | ARCH-Modell | ARCH model | Hedging | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Derivat | Derivative |
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