A regime-switching real-time copula GARCH model for optimal futures hedging
Hsiang-Tai Lee, Chien-Chiang Lee
| Year of publication: |
2022
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|---|---|
| Authors: | Lee, Hsiang-Tai ; Lee, Chien-Chiang |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 84.2022, p. 1-17
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| Subject: | Copula | Dynamic futures hedging | Real-time GARCH | Regime switching | ARCH-Modell | ARCH model | Hedging | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Futures | Derivat | Derivative | Theorie | Theory | Schätzung | Estimation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102395 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013472897