Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
Jonathan Dark
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Dark, Jonathan |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, 2, p. 269-285
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| Subject: | Dynamic futures hedging | Markov switching | Cointegration | Long memory | Volatility asymmetry | Kointegration | Markov-Kette | Markov chain | Hedging | Volatilität | Volatility | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Derivat | Derivative | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.08.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011586925