Browsing by Subject "AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY"

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The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets

Corbet, Shaen; Hou, Yang (Greg); Hu, Yang; Oxley, Les (Elsevier, 2022)

In this paper, we investigate both constant and time-varying hedge ratios in terms of the effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and EC/ROLS strategies to estimate constant hedge ...