Optimal hedge ratios for the Mexican stock market index futures contract : a multivariate GARCH approach
Alternative title: | Razones de cobertura óptima para el contrato futuro sobre el índice del mercado bursátil mexicano |
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Year of publication: |
2020
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Authors: | Santillán Salgado, Roberto Joaquín ; Escobar, Luis Jacob ; López Herrera, Francisco |
Published in: |
Economía teoría y práctica. - México, DF : [Verlag nicht ermittelbar], ISSN 2448-7481, ZDB-ID 2517303-0. - Vol. 28.2020, 53, p. 201-238
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Subject: | Futures contracts | hedging strategies | emerging derivatives markets | Hedging | Derivat | Derivative | ARCH-Modell | ARCH model | Index-Futures | Index futures | Mexiko | Mexico | Schätzung | Estimation | Volatilität | Volatility | Portfolio-Management | Portfolio selection |
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