Jump-dependent model for optimal index futures hedging in five major Asian stock markets
Yi-Hao Lai and Yi-Chiuan Wang
| Year of publication: |
2016
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| Authors: | Lai, Yi-Hao ; Wang, Yi-Chiuan |
| Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 52.2016, 4/6, p. 786-796
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| Subject: | copula | dependence structure | hedge ratio | jump | stock futures | Index-Futures | Index futures | Hedging | Multivariate Verteilung | Multivariate distribution | Derivat | Derivative | ARCH-Modell | ARCH model | Asien | Asia | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2015.1117875 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011563109