Optimal hedging with a regime-switching time-varying correlation GARCH model.
- Published in:
- Journal of Futures Markets, 2007, v. 27, n. 5, p. 495, doi. 10.1002/fut.20256
- By:
- Publication type:
- Article
Works matching IS 02707314 AND DT 2007 AND VI 27 AND IP 5
Results: 4
1
2
Hedging under the influence of transaction costs: An empirical investigation on FTSE 100 index options.
- Published in:
- Journal of Futures Markets, 2007, v. 27, n. 5, p. 471, doi. 10.1002/fut.20257
- By:
- Publication type:
- Article
3
Realized bond—stock correlation: Macroeconomic announcement effects.
- Published in:
- Journal of Futures Markets, 2007, v. 27, n. 5, p. 439, doi. 10.1002/fut.20258
- By:
- Publication type:
- Article
4
Long memory in commodity futures volatility: A wavelet perspective.
- Published in:
- Journal of Futures Markets, 2007, v. 27, n. 5, p. 411, doi. 10.1002/fut.20260
- By:
- Publication type:
- Article