Could the jump diffusion technique enhance the effectiveness of futures hedging models?
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DOI: 10.1016/j.matcom.2009.02.013
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More about this item
Keywords
Stock index futures; Hedge ratio; Markov-switching model; Volatility;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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