The impact of jumps and thin trading on realised hedge ratios
Mardi Dungey, Olan T. Henry & Lyudmyla Hvozdyk
| Year of publication: |
2012
|
|---|---|
| Authors: | Dungey, Mardi H. ; Henry, Ólan Thomas John ; Hvozdyk, Lyudmyla |
| Publisher: |
Cambridge : CFAP |
| Subject: | US Treasury bonds | futures | realised hedge ratios | jumps | thin trading | Hedging | USA | United States | Öffentliche Anleihe | Public bond | Zinsderivat | Interest rate derivative | Terminbörse | Futures exchange | Derivat | Derivative |
| Extent: | Online-Ressource (PDF-Datei: 22 S., 213 KB) graph. Darst. |
|---|---|
| Series: | CFAP working papers. - Cambridge : [Verlag nicht ermittelbar], ZDB-ID 2639087-5. - Vol. 42 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009671885