Forecasting the daily dynamic hedge ratios in emerging European stock futures markets : evidence from GARCH models
Year of publication: |
2019
|
---|---|
Authors: | Choudhry, Taufiq ; Hasan, Mohammad S. ; Zhang, Yuanyuan |
Published in: |
International journal of banking, accounting and finance. - Genève : Inderscience Enterprises Ltd., ISSN 1755-3830, ZDB-ID 2458820-9. - Vol. 10.2019, 1, p. 67-100
|
Subject: | forecasting | hedge ratio | generalised autoregressive | conditional heteroscedastic | GARCH | emerging market | volatility | ARCH-Modell | ARCH model | Hedging | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Schwellenländer | Emerging economies | Börsenkurs | Share price | Kapitaleinkommen | Capital income |
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