Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model
| Year of publication: |
2018
|
|---|---|
| Authors: | Lai, Yu-Sheng |
| Published in: |
Journal of Futures Markets. - Wiley, ISSN 0270-7314, ZDB-ID 2002201-3. - Vol. 38.2018, 11 (14.06.), p. 1370-1390
|
| Publisher: |
Wiley |
| Type of publication: | Article |
|---|---|
| Language: | English |
| Other identifiers: | 10.1002/fut.21937 [DOI] |
| Source: | Other ZBW resources |
Persistent link: https://www.econbiz.de/10012082132