Multiperiod hedging in the presence of conditional heteroskedasticity
Year of publication: |
1994
|
---|---|
Authors: | Lien, Da-hsiang Donald |
Other Persons: | Luo, Xiangdong (contributor) |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 14.1994, 8, p. 927-955
|
Subject: | Währungsderivat | Currency derivative | Schätztheorie | Estimation theory | Hedging | Theorie | Theory |
-
The hedge ratio : an exact test of the random walk hypothesis
Geppert, John M., (1991)
-
Stability and the hedging performance of foreign currency futures
Grammatikos, Theoharry, (1983)
-
Hedging with financial futures under variance minimization with stochastic interest rates
Chee, Kew-chul, (1994)
- More ...
-
Estimating multiperiod hedge ratios in cointegrated markets
Lien, Da-hsiang Donald, (1993)
-
Duffy, Tom, (2006)
-
Multiperiod Hedging in the Presence of Conditional Heteroskedasticity
Lien, Donald, (1994)
- More ...