Do the pure martingale and joint normality hypotheses hold for futures contracts? : implications for the optimal hedge ratios
Sheng-Syan Chen; Cheng-few Lee; Keshab Shrestha
| Year of publication: |
2008
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|---|---|
| Authors: | Chen, Sheng-syan ; Lee, Cheng F. ; Shrestha, Keshab |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 48.2008, 1, p. 153-174
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| Subject: | Futures | Rohstoffderivat | Commodity derivative | Martingal | Martingale | Hedging | Schätzung | Estimation | USA | United States |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003683377