Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis

DOI10.1023/A:1016268419530zbMath1054.91546MaRDI QIDQ1415629

Ah-Boon Sim, Ralf Zurbruegg

Publication date: 9 December 2003

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

futures markets

Mathematics Subject Classification ID

Economic growth models (91B62) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (3)

Hedging long-term exposures of a well-diversified portfolio with short-term stock index futures contracts ⋮ A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models ⋮ Optimal dynamic hedging via copula-threshold-GARCH models

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