Evaluating the performance of futures hedging using multivariate realized volatility
Masato Ubukata, Toshiaki Watanabe
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Ubukata, Masato ; Watanabe, Toshiaki |
| Published in: |
Journal of the Japanese and international economies : an international journal ; JJIE. - Amsterdam [u.a.] : Elsevier, ISSN 0889-1583, ZDB-ID 626389-6. - Vol. 38.2015, p. 148-171
|
| Subject: | Realized covariance matrix | Optimal hedge ratio | Conditional hedging model | High-frequency data | Hedging | Volatilität | Volatility | Korrelation | Correlation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Futures | Index-Futures | Index futures |