Optimal futures hedging under multichain Markov regime switching
Year of publication: |
2014
|
---|---|
Authors: | Sheu, Her-jiun ; Lee, Hsiang-tai |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 34.2014, 2, p. 173-202
|
Subject: | Futures | Hedging | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Schätzung | Estimation | USA | United States | 2001-2010 |
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