Comparing hedging effectiveness of portfolios in the greater Chinese stock exchanges : evidence from a modified value-at-risk model
Chung-Chu Chuang, Yi-Hsien Wang, and Tsai-Jung Yeh
| Year of publication: |
2020
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|---|---|
| Authors: | Chuang, Chung-Chu ; Wang, Yi-Hsien ; Yeh, Tsai-Jung |
| Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 3, p. 508-526
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| Subject: | EUM-MVaR model | hedging effectiveness | multivariate skewed t distribution | multivariate VEC-ADVECH-L model | value-at-risk | Hedging | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | China | Aktienmarkt | Stock market | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2018.1520088 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012211476