Optimal hedge ratios based on Markov-switching dynamic copula models
Jinzhi Li
| Year of publication: |
August 2018
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|---|---|
| Authors: | Li, Jinzhi |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 6, p. 55-74
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| Subject: | Markov-switching (MS) dynamic copula | stochastic volatility (SV) | optimal hedge ratios | hedging effectiveness | CSI 300 Index futures | Hedging | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Volatilität | Volatility | Index-Futures | Index futures | Theorie | Theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2018.390 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011962417