Work

Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures

Year: 2007

Type: article

Source: Journal of Financial and Quantitative Analysis

DOI: 10.1017/s0022109000003483

Author: Jonathan Dark

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1985666867

FWCI: 2.957

Cites: 65

Cited by: 23

Related to: 10