Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test (Q2390405): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.matcom.2009.02.013 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1977376644 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive conditional heteroskedasticity and changes in regime / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hybrid versus highbred: combined economic models with time-series analyses / rank
 
Normal rank
Property / cites work
 
Property / cites work: NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(<i>r</i>,<i>s</i>) AND ASYMMETRIC POWER GARCH(<i>r</i>,<i>s</i>) MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stationarity and the existence of moments of a family of GARCH processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: An approach to nonlinear programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: An econometric analysis of asymmetric volatility: theory and application to patents / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 19:08, 1 July 2024

scientific article
Language Label Description Also known as
English
Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test
scientific article

    Statements

    Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test (English)
    0 references
    0 references
    22 July 2009
    0 references
    stock index futures
    0 references
    hedge ratio
    0 references
    Markov-switching model
    0 references
    volatility
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references