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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016 - 1. Aufl. 2016
Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle -- Analyse von Handelswartezeiten -- Glättung der Volatilität von hochfrequenten Finanzdaten in einem...
Persistent link: https://www.econbiz.de/10014018518
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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016
Persistent link: https://www.econbiz.de/10011432076
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The information content of implied volatility indexes for forecasting volatility and market risk
Giot, Pierre - 2003
Persistent link: https://www.econbiz.de/10001791288
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Analytic derivatives and the computation of GARCH estimates
Fiorentini, Gabriele; Calzolari, Giorgio; Panattoni, Lorenzo - 1995
Persistent link: https://www.econbiz.de/10000924232
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A dynamic model of hedging and speculation in the commodity futures markets
Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15
Persistent link: https://www.econbiz.de/10011477250
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Dynamic conditional copula correlation and optimal hedge ratios with currency futures
Kotkatvuori-Örnberg, Juha - In: International review of financial analysis 47 (2016), pp. 60-69
Persistent link: https://www.econbiz.de/10011624046
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Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
Dark, Jonathan - In: Journal of banking & finance 61 (2015) 2, pp. 269-285
Persistent link: https://www.econbiz.de/10011586925
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Dynamic hedging with futures : a copula-based GARCH model with high-frequency data
Lai, Yu-Sheng - In: Review of derivatives research 21 (2018) 3, pp. 307-329
Persistent link: https://www.econbiz.de/10012055744
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange …. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …
Persistent link: https://www.econbiz.de/10011883272
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An asynchronous regime switching GO GARCH model for optimal futures hedging
Lee, Hsiang-Tai - In: Global business and finance review 24 (2019) 3, pp. 65-78
Persistent link: https://www.econbiz.de/10012121320