Hedging performance of Chinese stock index futures : an empirical analysis using wavelet analysis and flexible bivariate GARCH approaches
Yang Hou; Steven Li
| Year of publication: |
2013
|
|---|---|
| Authors: | Hou, Yang ; Li, Steven |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 24.2013, p. 109-131
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| Subject: | Hedge ratio | Hedging effectiveness | Wavelet analysis | Bivariate GARCH | Hedging | ARCH-Modell | ARCH model | Index-Futures | Index futures | Zustandsraummodell | State space model | Schätzung | Estimation | China | Zeitreihenanalyse | Time series analysis |
| 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/10010346788