The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010 : evidence from South Africa
Year of publication: |
Aug 2016
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Authors: | Bonga-Bonga, Lumengo ; Umoetok, Ekerete |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 40/42, p. 3999-4018
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Subject: | Emerging markets | optimal hedge ratio | South Africa | index futures hedging | vector autoregression | vector error-correction | Generalized Autoregressive Conditional Heteroscedasticity (GARCH) | Südafrika | Hedging | ARCH-Modell | ARCH model | Schwellenländer | Emerging economies | Index-Futures | Index futures | Volatilität | Volatility |
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