An asynchronous regime switching GO GARCH model for optimal futures hedging
| Year of publication: |
2019
|
|---|---|
| Authors: | Lee, Hsiang-Tai |
| Published in: |
Global Business & Finance Review (GBFR). - Seoul : People & Global Business Association (P&GBA), ISSN 2384-1648. - Vol. 24.2019, 3, p. 65-78
|
| Publisher: |
Seoul : People & Global Business Association (P&GBA) |
| Subject: | Asynchronous Markov switching | GO GARCH | Minimum variance hedge ratio | Index futures |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Article |
| Language: | English |
| Other identifiers: | 10.17549/gbfr.2019.24.3.65 [DOI] 168197911X [GVK] hdl:10419/224430 [Handle] |
| Source: |
Persistent link: https://www.econbiz.de/10012286686