Return distribution, leverage effect and spot-futures spread on the hedging effectiveness
Wei-Shun Kao, Chu-Hsiung Lin, Chang-Cheng Changchien, Chien-Hui Wu
| Year of publication: |
August 2017
|
|---|---|
| Authors: | Kao, Wei-Shun ; Lin, Chu-Hsiung ; Changchien, Chang-Cheng ; Wu, Chien-Hui |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 22.2017, p. 158-162
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| Subject: | Optimal hedge ratio | Volatility | Spread | Skewed generalized t distribution | Hedging | Theorie | Theory | Kapitaleinkommen | Capital income | Volatilität | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.12.036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011808125