Optimal futures hedging under multichain Markov regime switching
Her-Jiun Sheu and Hsiang-Tai Lee
| 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 |
| Extent: | graph. Darst. |
|---|---|
| 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/10010255473