Hedging time-varying downside risk

被引:2
|
作者
Lien, D
Tse, YK
机构
[1] Univ Kansas, Dept Econ, Lawrence, KS 66045 USA
[2] Natl Univ Singapore, Singapore 117548, Singapore
关键词
D O I
10.1002/(SICI)1096-9934(199809)18:6<705::AID-FUT4>3.0.CO;2-R
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
[No abstract available]
引用
收藏
页码:705 / 722
页数:18
相关论文
共 50 条
  • [41] Forecasting VIX with time-varying risk aversion
    Wu, Xinyu
    He, Qizhi
    Xie, Haibin
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2023, 88 : 458 - 475
  • [42] COASTAL RISK ASSESSMENT IN A TIME-VARYING CLIMATE
    Losada, Inigo J.
    Izaguirre, Cristina
    Mendez, Fernando J.
    Castanedo, Sonia
    Reguero, Borja G.
    COASTAL STRUCTURES 2011, VOL 1 & 2, 2013, : 36 - 47
  • [43] The time-varying risk price of currency portfolios
    Byrne, Joseph P.
    Ibrahim, Boulis Maher
    Sakemoto, Ryuta
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2022, 124
  • [44] Risk Analysis of Portfolio by Time-Varying Copula
    Dong Xiaowei
    Liu Qiongsun
    PROCEEDINGS OF THE 2ND INTERNATIONAL CONFERENCE ON RISK MANAGEMENT & ENGINEERING MANAGEMENT, VOLS 1 AND 2, 2008, : 198 - 200
  • [45] Time-varying risk aversion and unexpected inflation
    Brandt, MW
    Wang, KQ
    JOURNAL OF MONETARY ECONOMICS, 2003, 50 (07) : 1457 - 1498
  • [46] Risk shocks with time-varying higher moments
    Dorofeenko, Victor
    Lee, Gabriel
    Salyer, Kevin
    Strobel, Johannes
    STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2020, 24 (02):
  • [47] Time-varying credibility for frequency risk models
    Pinquet, J
    Guillen, M
    Bolance, C
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (01): : 160 - 160
  • [48] Admissibility of time-varying observations for time-varying systems
    Idrissi, A
    Rhandi, A
    JOURNAL OF COMPUTATIONAL ANALYSIS AND APPLICATIONS, 2004, 6 (03) : 229 - 241
  • [49] Stability bound for time-varying uncertainty of positive time-varying discrete systems with time-varying delay time
    Han H.-S.
    Journal of Institute of Control, Robotics and Systems, 2016, 22 (06) : 424 - 428
  • [50] Constant vs. time-varying hedge ratios and hedging efficiency in the BIFFEX market
    Kavussanos, MG
    Nomikos, NK
    TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW, 2000, 36 (04) : 229 - 248