TARCH model-based dynamic hedging strategy of ADR portfolios
Haochen Guo, Zdeněk Zmeškal
| Year of publication: |
2022
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|---|---|
| Authors: | Guo, Haochen ; Zmeškal, Zdeněk |
| Published in: |
International journal of economics and accounting : IJEA. - Genève [u.a.] : Inderscience Enterprises, ISSN 2041-8698, ZDB-ID 2581736-X. - Vol. 11.2022, 2, p. 199-211
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| Subject: | ADR | American depositary receipt | dynamic hedging strategy | Monte Carlo simulation | TARCH model | the US equity market | value at risk | volatility model | Hedging | Volatilität | Volatility | Geldmarktpapier | Money market instruments | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | USA | United States | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory | Derivat | Derivative | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJEA.2022.124141 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013454273