A new dynamic hedging model with futures : the Kalman filter error-correction model
Chien-Ho Wang, Chang-Ching Lin, Shu-Hui Lin and Hung-Yu Lai
| Year of publication: |
2020
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|---|---|
| Authors: | Wang, Chien-Ho ; Lin, Chang-Ching ; Lin, Shu-Hui ; Lai, Hung-Yu |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 22.2019/2020, 4, p. 61-78
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| Subject: | Kalman filter (KF) | state-space model (SSM) | common stochastic trend | error-correction model (ECM) | dynamic hedging performance | Hedging | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2020.431 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012297511