Under current rules, margin is very low or nonexistent since T-bills can often be put up as margin for institutional investors. 'The confidence level is found by taking 1 minus the probability given in the P > t column. ## DURATION AND EXPIRATION EFFECTS / 41 '"Linear trend regressions were also
STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY
โ Scribed by Phil Holmes
- Book ID
- 111105699
- Publisher
- John Wiley and Sons
- Year
- 1996
- Tongue
- English
- Weight
- 826 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0306-686X
No coin nor oath required. For personal study only.
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## Abstract Bollerslev's (1990, __Review of Economics and Statistics__, 52, 5โ59) constant conditional correlation and Engle's (2002, __Journal of Business & Economic Statistics__, 20, 339โ350) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity