Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test (Q2390405)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5581916
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test |
scientific article; zbMATH DE number 5581916 |
Statements
Could the jump diffusion technique enhance the effectiveness of futures hedging models? A reality test (English)
0 references
22 July 2009
0 references
stock index futures
0 references
hedge ratio
0 references
Markov-switching model
0 references
volatility
0 references
0 references
0 references
0.7353845834732056
0 references
0.7260168194770813
0 references
0.7196121215820312
0 references
0.713847815990448
0 references
0.7101137042045593
0 references
