TARCH model-based dynamic hedging strategy of ADR portfolios
Year of publication: |
2022
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Authors: | Guo, Haochen ; Zmeškal, Zdeněk |
Published in: |
International journal of economics and accounting : IJEA. - Genève [u.a.] : Inderscience Enterprises, ISSN 2041-8698, ZDB-ID 2581736-X. - Vol. 11.2022, 2, p. 199-211
|
Subject: | ADR | American depositary receipt | dynamic hedging strategy | Monte Carlo simulation | TARCH model | the US equity market | value at risk | volatility model | USA | United States | Hedging | Portfolio-Management | Portfolio selection | Geldmarktpapier | Money market instruments | Volatilität | Volatility | Risikomaß | Risk measure | Monte-Carlo-Simulation | ARCH-Modell | ARCH model | Aktienmarkt | Stock market |
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