Hedge ratio on Markov regime-switching diagonal Bekk-Garch model
Year of publication: |
March 2018
|
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Authors: | Zhipeng, Yan ; Shenghong, Li |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 49-55
|
Subject: | Garch models | Hedge ratio | Regime-switching | Stock index futures | Hedging | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Index-Futures | Index futures | Volatilität | Volatility | Schätzung | Estimation |
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