On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios
Year of publication: |
2007
|
---|---|
Authors: | Ku, Yuan-hung Hsu ; Chen, Ho-chyuan ; Chen, Kuang-hua |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 14.2007, 7/9, p. 503-509
|
Subject: | ARCH-Modell | ARCH model | Hedging | Korrelation | Correlation | Schätzung | Estimation | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
-
Three essays on modeling conditional correlation
Sheppard, Kevin, (2004)
-
Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina, (2015)
-
Nonparametric correlation models for portfolio allocation
Aslanidis, Nektarios, (2013)
- More ...
-
Ku, Yuan-Hung Hsu, (2007)
-
Ku, Yuan-Hung Hsu, (2008)
-
Intertemporal cross-border investment structures subjected to the equity holding constraint
Ku, Yuan-hung Hsu, (2005)
- More ...