Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance
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More about this item
Keywords
Jump Intensity; Jump Size; Co-integration; ARJI; VEC GJR-GARCH; Hedging Ratio; Hedging Performance.;All these keywords.
JEL classification:
- F30 - International Economics - - International Finance - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G19 - Financial Economics - - General Financial Markets - - - Other
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