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Analysis of hedging based on co-persistence theory - MaRDI portal

Analysis of hedging based on co-persistence theory

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Publication:5127119

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DOI10.1080/02664763.2012.722610OpenAlexW2080008492MaRDI QIDQ5127119

Chang-Shuai Li

Publication date: 21 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4027

zbMATH Keywords

hedging persistence IGARCH co-persistence latent factor GARCH VGARCH

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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