Hedging effectiveness of applying constant and timevarying hedge ratios : evidence from Taiwan stock index spot and futures
Dar-hsin Chen, Leo Bin and Chun-Yi Tseng
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Dar-hsin ; Bin, Leo ; Tseng, Chun-Yi |
| Published in: |
Journal of risk & control. - Christchurch, New Zealand : Scientific Press International Limited, ISSN 2056-3701, ZDB-ID 2818578-X. - Vol. 1.2014, 1, p. 31-49
|
| Subject: | Index Futures | Hedge Ratio | VECM model | GARCH model | Multivariate-GARCH model | Hedging | Index-Futures | Index futures | ARCH-Modell | ARCH model | Taiwan | Kointegration | Cointegration | Futures | Aktienindex | Stock index | Rohstoffderivat | Commodity derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010509212