Optimal futures hedging under jump switching dynamics
Year of publication: |
2009
|
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Authors: | Lee, Hsiang-Tai |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 16.2009, 2, p. 446-456
|
Subject: | Hedging | Futures | ARCH-Modell | ARCH model | Markov-Kette | Markov chain |
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