Study about the minimum value at risk of stock index futures hedging applying exponentially weighted moving average : generalized autoregressive conditional heteroskedasticity model
Rong Xu, Xingye Li
| Year of publication: |
2017
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| Authors: | Xu, Rong ; Li, Xingye |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 7.2017, 6, p. 104-110
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| Subject: | Minimum Value At Risk | Hedging Model | Decay Factor | Cornish-Fisher | Exponentially Weighted Moving Average -Generalized Autoregressive Conditional Heteroskedasticity (1,1)-M Model | Hedging | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index | Index-Futures | Index futures |
| 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/10011948261