Improving hedging performance by using high-low range
Year of publication: |
2022
|
---|---|
Authors: | Lai, Yu-Sheng |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 48.2022, p. 1-8
|
Subject: | covariance forecasting | futures hedge ratio | hedging effectiveness | high-low ranges | realized covariance | Hedging | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Futures |
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