Stock index futures hedging in the emerging Malaysian market
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References listed on IDEAS
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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- Vishwas B. & N. Sivakumar, 2016. "Mutual Fund Portfolio Hedging Using Index Futures: An Empirical Analysis," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 5(3), pages 203-210, August.
- repec:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1146-9 is not listed on IDEAS
More about this item
KeywordsMalaysian emerging market Spot and futures volatility Bivariate GARCH and TGARCH Portfolio hedging Variance reduction;
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