Dynamic hedging using the realized minimum-variance hedge ratio approach : examination of the CSI 300 index futures
Hui Qu, Tianyang Wang, Yi Zhang, Pengfei Sun
| Year of publication: |
2019
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|---|---|
| Authors: | Qu, Hui ; Wang, Tianyang ; Zhang, Yi ; Sun, Pengfei |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 57.2019, p. 1-14
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| Subject: | Hedging effectiveness | High-frequency data | Out-of-sample forecasting | Realized minimum-variance hedge ratio | Tracking error | Volatility regime | Hedging | Volatilität | Volatility | Index-Futures | Index futures | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2018.08.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012170622