Optimal hedging with a regime-switching time-varying correlation GARCH model
Hsiang-Tai Lee; Jonathan Yoder
| Year of publication: |
2007
|
|---|---|
| Authors: | Lee, Hsiang-tai ; Yoder, Jonathan |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 27.2007, 5, p. 495-516
|
| Subject: | Hedging | ARCH-Modell | ARCH model | Korrelation | Correlation | Index-Futures | Index futures | Japan | Hongkong | Hong Kong | 1989-2004 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003493100