The rise and fall of S&P500 variance futures
Chia-lin Chang; Juan-Angel Jimenez-Martin; Michael McAleer; Teodosio Perez Amaral
| Year of publication: |
2013
|
|---|---|
| Authors: | Chang, Chia-Lin ; Jimenez-Martin, Juan-Angel ; McAleer, Michael ; Pérez Amaral, Teodosio |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 25.2013, p. 151-167
|
| Subject: | Risk management | Financial derivatives | Futures | Options | Swaps | 3-Month variance futures | 12-Month variance futures | Risk exposure | Volatility | Derivat | Derivative | Volatilität | Risikomanagement | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Swap | Schätzung | Estimation | Hedging | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling |
| 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/10009779314