The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework
Kuang-Liang Chang
| Year of publication: |
2011
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|---|---|
| Authors: | Chang, Kuang-liang |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 43.2011, 19/21, p. 2627-2640
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| Subject: | Risikomaß | Risk measure | Hedging | Strategie | Strategy | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Schätzung | Estimation | Taiwan | 1998-2006 |
| 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/10009379651