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Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions

Wei-Han Liu
Year of publication:
2014
Authors: Liu, Wei-hn
Published in:
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 46.2014, 10/12, p. 1420-1435
Subject: dynamic optimal hedge ratio | generalized hyperbolic distribution | hedge effectiveness | multivariate skew normal distribution | multivariate skew-t distribution | Hedging | Statistische Verteilung | Statistical distribution | Theorie | Theory | Schätzung | Estimation | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis
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