Foreign exchange volatility shifts and futures hedging : an ICSS-GARCH approach
Iqbal Mansur; Steven J. Cochran and David Shaffer
| Year of publication: |
2007
|
|---|---|
| Authors: | Mansur, Iqbal ; Cochran, Steven J. ; Shaffer, David Reed |
| Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 10.2007, 3, p. 349-388
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| Subject: | Wechselkurs | Exchange rate | Volatilität | Volatility | Hedging | Währungsderivat | Currency derivative | ARCH-Modell | ARCH model | USA | United States | 1975-2002 |
| 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/10003611852