The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010 : evidence from South Africa
Lumengo Bonga-Bonga & Ekerete Umoetok
| Year of publication: |
Aug 2016
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| Authors: | Bonga-Bonga, Lumengo ; Umoetok, Ekerete |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 40/42, p. 3999-4018
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| Subject: | Emerging markets | optimal hedge ratio | South Africa | index futures hedging | vector autoregression | vector error-correction | Generalized Autoregressive Conditional Heteroscedasticity (GARCH) | ARCH-Modell | ARCH model | Südafrika | Schwellenländer | Emerging economies | Index-Futures | Index futures | Hedging | VAR-Modell | VAR model | Schätzung | Estimation | Schätztheorie | Estimation theory | Finanzkrise | Financial crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2016.1150948 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011639941