Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market
Year of publication: |
2002
|
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Authors: | Novales, Alfonso ; Lafuente, J.A. |
Institutions: | Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid |
Subject: | Optimal hedging | Futures contract | Stock Index | GARCH models | Mispricing |
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