OPTIMAL HEDGE RATIO IN TURKISH STOCK INDEX FUTURES MARKET: A DECO-FIAPARCH APPROACH

This paper adopts a new approach called DECO-FIAPARCH model for estimating the optimal hedge ratio (HR) in Turkish Stock Index Futures market in the presence of asymmetry and long memory. The study covers the period from May 3, 2005 until April 4, 2019, total of 3,508 daily observations. The DECO-...

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書誌詳細

出版年:	Financial Studies
主要な著者:	İsmail ÇELİK, Ahmet Furkan SAK
フォーマット:	論文
言語:	英語
出版事項:	“Victor Slăvescu” Centre for Financial and Monetary Research 2021-12-01
主題:	time-varying hedge ratio asymmetry long memory fractional aparch
オンライン･アクセス:	http://fs.icfm.ro/Paper02.FS4.2021.pdf