Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Yu-Sheng Lai
| Year of publication: |
September 2015
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| 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
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| 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 |
| 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://ebvufind01.dmz1.zbw.eu/10011459137