haku: @author Wilson, B.K. / yhteensä: 1
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| Tekijä: | Lien, D. Wilson, B.K. |
| Otsikko: | Multiperiod hedging in the presence of stochastic volatility |
| Lehti: | International Review of Financial Analysis
2001 : VOL. 10:4, p. 395-406 |
| Asiasana: | AUTOREGRESSION HEDGING HETEROSCEDASTICITY OIL INDUSTRY STOCHASTIC PROCESSES VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the authors characterize the multiperiod minimum-risk hedge strategy within the stochastic volatility (SV) framework and compare it to other hedge strategies on the basis of hedging performance. Using crude oil markets as an example, the authors demonstrate that the SV model is appropriate in depicting price behaviour. |
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