Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Nonparametric Approaches-Reference-Cited by-同舟云学术

Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Nonparametric Approaches

Published:2015-12-18 Issue:10 Volume:36 Page:968-991
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:

Author:

Fan Rui¹,Li Haiqi²,Park Sung Y.³

Affiliation:

1. Rui Fan is at the Department of Economics; University of Illinois at Urbana-Champaign; Champaign, Illinois USA

2. Haiqi Li is at the College of Finance and Statistics; Hunan University; Changsha, Hunan China

3. Sung Y. Park is at the School of Economics; Chung-Ang University; 84 Heukseok-Ro, Dongjak-Gu, Seoul Korea

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21766/fullpdf

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5. Inference for semiparametric models: Some current frontiers (with discussion);Bickel;Statistica Sinica,2001

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