Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach

Yu-Sheng Lai

Year of publication:	September 2015
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. 14.2015, 9, p. 899-905
Subject:	Threshold Autoregressive \| High-Frequency Data \| Multivariate Realized Volatility \| Equity Index Futures \| Minimum-Variance Hedge Ratio \| Volatilität \| Volatility \| Index-Futures \| Index futures \| Hedging \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation \| Theorie \| Theory \| Autokorrelation \| Autocorrelation \| ARCH-Modell \| ARCH model \| Prognoseverfahren \| Forecasting model

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