The out-of-sample forecasting of hedged portfolio variances using bivariate mixed normal GARCH models
Year of publication: |
2008
|
---|---|
Authors: | Chung, Sang-kuck |
Published in: |
Journal of economic research. - Seoul, ISSN 1226-4261, ZDB-ID 1409101-X. - Vol. 13.2008, 2 (30.11.), p. 325-347
|
Subject: | Theorie | Theory | ARCH-Modell | ARCH model | Hedging | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection |
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