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  • Search: subject:"Market noise conditional volatility"
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Year of publication
Subject
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Market noise conditional volatility 2 Multivariate GARCH model 2 Optimal hedge ratio 2 ARCH model 1 ARCH-Modell 1 Commodity derivative 1 Estimation 1 Hedging 1 Incomplete market 1 Rohstoffderivat 1 Schätzung 1 Shanghai 1 Unvollkommener Markt 1 Volatility 1 Volatilität 1
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Undetermined 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Chen, Qiang 2 Lin, Xiaoqiang 2 Tang, Zhenpeng 2
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Economic Modelling 1 Economic modelling 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Dynamic hedging strategy in incomplete market: Evidence from Shanghai fuel oil futures market
Lin, Xiaoqiang; Chen, Qiang; Tang, Zhenpeng - In: Economic Modelling 40 (2014) C, pp. 81-90
This paper introduces a new incomplete index and establishes a new optimal hedging model. We find that when the market micro-noise is perfectly negatively correlated with the return of futures market, market incompleteness depends on the relative level of noise volatility. Especially when noise...
Persistent link: https://www.econbiz.de/10010781966
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Cover Image
Dynamic hedging strategy in incomplete market : evidence from Shanghai fuel oil futures market
Lin, Xiaoqiang; Chen, Qiang; Tang, Zhenpeng - In: Economic modelling 40 (2014), pp. 81-90
Persistent link: https://www.econbiz.de/10010425724
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