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  • Search: subject:"dynamic minimum-variance hedging"
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ARCH model 1 ARCH-Modell 1 Aktienindex 1 Capital income 1 Conditional skewness and kurtosis 1 Hedging 1 Index futures 1 Index-Futures 1 Kapitaleinkommen 1 Statistical distribution 1 Statistische Verteilung 1 Stock index 1 Theorie 1 Theory 1 USA 1 United States 1 Volatility 1 Volatilität 1 dynamic minimum-variance hedging 1 hedging effectiveness 1 multivariate GARCH models 1 skew-Student density 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Holmes, Mark J. 1 Hou, Yang 1
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Australian journal of management 1
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Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures
Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265
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