Dynamic hedging performance and downside risk : evidence from Nikkei index futures

Masato Ubukata

Year of publication:	2018
Authors:	Ubukata, Masato
Published in:	International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 58.2018, p. 270-281
Subject:	Expected shortfall \| Optimal hedge ratio \| Realized covariance measure \| Spectral risk measures \| Value-at-risk \| Hedging \| Risikomaß \| Risk measure \| Index-Futures \| Index futures \| Portfolio-Management \| Portfolio selection \| Messung \| Measurement \| Japan \| Korrelation \| Correlation \| Risikomanagement \| Risk management \| Risiko \| Risk \| Aktienindex \| Stock index \| ARCH-Modell \| ARCH model \| Derivat \| Derivative

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