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Multiperiod hedging in the presence of conditional heteroskedasticity

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  • Donald Lien
  • Xiangdong Luo

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  • Donald Lien & Xiangdong Luo, 1994. "Multiperiod hedging in the presence of conditional heteroskedasticity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(8), pages 927-955, December.
  • Handle: RePEc:wly:jfutmk:v:14:y:1994:i:8:p:927-955
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    Cited by:

    1. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
    2. Donald Lien & Y. K. Tse & Albert Tsui, 2002. "Evaluating the hedging performance of the constant-correlation GARCH model," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 791-798.
    3. Kim, Kyungwon, 2013. "Modeling financial crisis period: A volatility perspective of Credit Default Swap market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 4977-4988.
    4. Dar-Hsin Chen & Leo Bin & Chun-Yi Tseng, 2014. "Hedging Effectiveness of Applying Constant and Time-Varying Hedge Ratios: Evidence from Taiwan Stock Index Spot and Futures," Journal of Risk & Control, Risk Market Journals, vol. 1(1), pages 31-49.

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