Measuring conditional hedging effectiveness : a GARCH approach
Yu-Sheng Lai
| Year of publication: |
2018
|
|---|---|
| Authors: | Lai, Yu-Sheng |
| Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 17.2018, 9, p. 1159-1171
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| Subject: | Futures Hedging Performance | GARCH | Equity Index Futures | Minimumvariance Hedge Ratio | Hedging | Index-Futures | Index futures | ARCH-Modell | ARCH model | Futures | Schätzung | Estimation | Rohstoffderivat | Commodity derivative |
| 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/10012006781