Relationships among US S&P500 stock index, its futures and NASDAQ index futures with volatility spillover and jump diffusion : modeling and hedging performance
Hsiang-Hsi Liu and Yu-Cheng Lin
| Year of publication: |
2021
|
|---|---|
| Authors: | Liu, Hsiang-Hsi ; Lin, Yu-Cheng |
| Published in: |
Bulletin of applied economics. - Christchurch, New Zealand : Scientific Press International Limited, ISSN 2056-3728, ZDB-ID 2818826-3. - Vol. 8.2022, 1, p. 121-148
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| Subject: | Jump Intensity | Jump Size | Co-integration | ARJI | VEC GJR-GARCH | Hedging Ratio | Hedging Performance | Hedging | Index-Futures | Index futures | Volatilität | Volatility | USA | United States | Aktienindex | Stock index | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.47260/bae/818 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013271045