Use of high-frequency data to evaluate the performance of dynamic hedging strategies
Yu-Sheng Lai
| Year of publication: |
2022
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|---|---|
| Authors: | Lai, Yu-Sheng |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 1, p. 104-124
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| Subject: | futures hedge ratio | GARCH forecasts | hedging effectiveness | high-frequency data | predictive ability test | Hedging | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Futures |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22272 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012796298