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Volumn 16, Issue 3, 2009, Pages 446-456

Optimal futures hedging under jump switching dynamics

Author keywords

GARCH model; Hedge ratio; Hedging; Markov regime switching

Indexed keywords


EID: 64649106927     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2008.12.001     Document Type: Article
Times cited : (32)

References (22)
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.