مرکز منطقه ای اطلاع رساني علوم و فناوري - Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market

Title of article :

Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market

Author/Authors :

Juan A. Lafuente، نويسنده , , Alfonso Novales، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2003

Pages :

From page :

1053

To page :

1078

Keywords :

Optimal hedging , GARCH models , mispricing , Stock index , Futures contract

Journal title :

Journal of Banking and Finance

Serial Year :

2003

Journal title :

Journal of Banking and Finance

Record number :

193490

Link To Document :