Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches
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- repec:eee:reveco:v:54:y:2018:i:c:p:74-102 is not listed on IDEAS
- repec:eee:pacfin:v:48:y:2018:i:c:p:210-223 is not listed on IDEAS
- Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
More about this item
KeywordsHedge ratio; Hedging effectiveness; Wavelet analysis; Bivariate GARCH;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G19 - Financial Economics - - General Financial Markets - - - Other
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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