An asynchronous regime switching GO GARCH model for optimal futures hedging
Hsiang-Tai Lee
| Year of publication: |
2019
|
|---|---|
| Authors: | Lee, Hsiang-Tai |
| Published in: |
Global business and finance review. - Seoul : People & Global Business Association, ISSN 2384-1648, ZDB-ID 2839730-7. - Vol. 24.2019, 3, p. 65-78
|
| Subject: | Asynchronous Markov switching | GO GARCH | Minimum variance hedge ratio | Index futures | ARCH-Modell | ARCH model | Hedging | Index-Futures | Markov-Kette | Markov chain | Theorie | Theory | Futures | Derivat | Derivative |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.17549/gbfr.2019.24.3.65 [DOI] hdl:10419/224430 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012121320