Hedge ratio stability and hedging effectiveness of time-varying hedge ratios in volatile index futures markets : evidence from the Asian financial crisis
Year of publication: |
2010
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Authors: | Wang, Janchung ; Hsu, Hsinan |
Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 39.2010, 5, p. 659-686
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Subject: | Asian financial crisis | Bivariate error correction generalized autoregressive conditional heteroskedastic | Stability of hedge ratios | Three Asian index futures | Time-varying hedge ratio | Hedging | ARCH-Modell | ARCH model | Index-Futures | Index futures | Volatilität | Volatility | Asien | Asia | Finanzkrise | Financial crisis | Kointegration | Cointegration | Futures | Schätzung | Estimation | Hongkong | Hong Kong |
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