Dynamic hedging in stock index futures via copula multiplicative error model
Wen-chin Chen, Kai-ping Liu, Yung-lieh Yang and Yi-hao Lai
| Year of publication: |
2014
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|---|---|
| Authors: | Chen, Wen-Chin ; Liu, Kai-ping ; Yang, Yung-lieh ; Lai, Yi-hao |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 21.2014, 10/12, p. 801-805
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| Subject: | hedge ratio | copula | multiplicative error model | dependence structure | futures | Hedging | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Index-Futures | Index futures | Derivat | Derivative | Kointegration | Cointegration | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index |
| 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/10010416262