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DOI: 10.1007/s10436-022-00415-w
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More about this item
Keywords
Long-memory; Stochastic volatility; Hedging; Hedging bias;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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