Forecasting the daily dynamic hedge ratios in emerging European stock futures markets : evidence from GARCH models
Taufiq Choudhry, Mohammad Hasan, YuanYuan Zhang
| Year of publication: |
2019
|
|---|---|
| Authors: | Choudhry, Taufiq ; Hasan, Mohammad S. ; Zhang, Yuanyuan |
| Published in: |
International journal of banking, accounting and finance. - Genève : Inderscience Enterprises Ltd., ISSN 1755-3830, ZDB-ID 2458820-9. - Vol. 10.2019, 1, p. 67-100
|
| Subject: | forecasting | hedge ratio | generalised autoregressive | conditional heteroscedastic | GARCH | emerging market | volatility | ARCH-Modell | ARCH model | Hedging | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schwellenländer | Emerging economies | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJBAAF.2019.099316 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012051118