Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets
Yuanyuan Zhang and Taufiq Choudhry
| Year of publication: |
2015
|
|---|---|
| Authors: | Zhang, Yuanyuan ; Choudhry, Taufiq |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 4/6, p. 376-399
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| Subject: | forecasting | hedge ratio | GARCH | futures market | volatility | ARCH-Modell | ARCH model | Hedging | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Warenbörse | Commodity exchange | Schätzung | Estimation | Theorie | Theory | Derivat | Derivative | Futures |
| Extent: | graph. Darst. |
|---|---|
| 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/10010528976