Quadratic hedging schemes for non-Gaussian GARCH models (Q1994523)
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scientific article; zbMATH DE number 6970498
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Quadratic hedging schemes for non-Gaussian GARCH models |
scientific article; zbMATH DE number 6970498 |
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Quadratic hedging schemes for non-Gaussian GARCH models (English)
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1 November 2018
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GARCH models
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local risk minimization
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martingale measure
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bivariate diffusion limit
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minimum variance hedge
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0.8689420819282532
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0.8492851853370667
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0.7859135866165161
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0.7698675394058228
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0.7625109553337097
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