A new range-based regime-switching dynamic conditional correlation model for minimum-variance hedging
Yi-Kai Su, Chun-Chou Wu
| Year of publication: |
2014
|
|---|---|
| Authors: | Su, Yi Kai ; Wu, Chun-chou |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 4.2014, 3, p. 207-219
|
| Subject: | Minimum-Variance Hedge Ratio | Markov-Switching | Correlation | Range-Based DCC Model | Regime Shift | Korrelation | Hedging | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Volatilität | Volatility | Theorie | Theory | Portfolio-Management | Portfolio selection |
| 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://ebvufind01.dmz1.zbw.eu/10010400103