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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach
Chuang, Chung-Chu
;
Wang, Yi-Hsien
;
Yeh, Tsai-Jung
; …
- In:
Applied economics
47
(
2015
)
19/21
,
pp. 2040-2052
Persistent link: https://www.econbiz.de/10010513350
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2
Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
Chuang, Chung-Chu
;
Wang, Yi-Hsien
;
Yeh, Tsai-Jung
; …
- In:
Economic modelling
42
(
2014
),
pp. 15-19
Persistent link: https://www.econbiz.de/10010478302
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3
Comparing hedging effectiveness of portfolios in the greater Chinese stock exchanges : evidence from a modified value-at-risk model
Chuang, Chung-Chu
;
Wang, Yi-Hsien
;
Yeh, Tsai-Jung
- In:
Emerging markets, finance & trade : a journal of the …
56
(
2020
)
3
,
pp. 508-526
Persistent link: https://www.econbiz.de/10012211476
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