Optimal futures hedging by using realized semicovariances : the information contained in signed high-frequency returns
Yu-Sheng Lai
| Year of publication: |
2023
|
|---|---|
| Authors: | Lai, Yu-Sheng |
| Subject: | asymmetric covariance | dynamic hedge ratio | hedging effectiveness | high-frequency data | realized semicovariance | Hedging | Futures | ARCH-Modell | ARCH model | Korrelation | Correlation | Theorie | Theory | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22406 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014293180