Weijun Xu

affiliation not provided to SSRN

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Optimal Hedging Strategy in Stock Index Futures Markets

21st Australasian Finance and Banking Conference 2008 Paper
Posted: 01 Sep 2008 Last Revised: 11 Jan 2009
Weijun Xu and Li Yang
affiliation not provided to SSRN and UNSW Australia Business School, School of Banking and Finance

Abstract:

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Minimum variance hedge ratio, MGARCH models, Markov regime switching models, Bayesian Gibbs-sampling, Index futures contracts