Hedging strategy using copula and nonparametric methods : evidence from China securities index futures
Zhiyuan Pan; Xianchao Sun
| Year of publication: |
2014
|
|---|---|
| Authors: | Pan, Zhiyuan ; Sun, Xianchao |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 4.2014, 1, p. 107-121
|
| Subject: | Hedge Strategy | Optimal Hedge Ratio | Nonparametric Estimation | Patton (2006)'s SJC-Copula | Hong and Li (2005)'s Statistics | CSI 300 Index Futures | Hedging | Index-Futures | Index futures | China | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Derivat | Derivative | Hongkong | Hong Kong | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010519719