An econometric investigation of hedging performance of stock index futures in Korea : dynamic versus static hedging
Mohammad Hasan, Taufiq Choudhry, Yuanyuan Zhang
| Year of publication: |
2020
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|---|---|
| Authors: | Hasan, Mohammad S. ; Choudhry, Taufiq ; Zhang, Yuanyuan |
| Published in: |
International journal of banking, accounting and finance : IJBAAF. - Genève [u.a.] : Inderscience Enterprises, ISSN 1755-3849, ZDB-ID 2471984-5. - Vol. 11.2020, 2, p. 227-253
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| Subject: | stock index futures | time-varying hedge ratio | GARCH model | hedging effectiveness | Korea | Hedging | ARCH-Modell | ARCH model | Index-Futures | Index futures | Südkorea | South Korea | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJBAAF.2020.106712 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012204571