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Multiperiod hedging in the presence of conditional heteroskedasticity
Author(s) -
Lien Donald,
Luo Xiangdong
Publication year - 1994
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.3990140806
Subject(s) - heteroscedasticity , econometrics , economics , autoregressive conditional heteroskedasticity , financial economics , mathematics , volatility (finance)