Analysis of hedging based on co-persistence theory

DOI10.1080/02664763.2012.722610MaRDI QIDQ5127119zbMATH OpenOpenAlexFDO

Authors Chang-Shuai Li

Publication date 21 October 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.4027

zbMATH Keywords

co-persistencehedgingIGARCHlatent factor GARCHpersistenceVGARCH

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Common Persistence in Conditional Variances
• scientific article; zbMATH DE number 5010681 (Why is no real title available?)

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