Hedge ratio on Markov regime-switching diagonal Bekk-Garch model
Yan Zhipeng, Li Shenghong
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Zhipeng, Yan ; Shenghong, Li |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 49-55
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| Subject: | Garch models | Hedge ratio | Regime-switching | Stock index futures | Hedging | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Index-Futures | Index futures | Theorie | Theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.06.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011982461