Dynamic Correlations and Optimal Hedge Ratios
Year of publication: |
2007-02-20
|
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Authors: | Bos, Charles S. ; Gould, Phillip |
Institutions: | Tinbergen Institute |
Subject: | Dynamic correlation | multivariate GARCH | stochastic volatility | hedge ratio |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 07-025/4 |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; G11 - Portfolio Choice |
Source: |
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Dynamic Correlations and Optimal Hedge Ratios
Bos, Charles S., (2007)
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Dynamic Correlations and Optimal Hedge Ratios
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Dynamic Correlations and Optimal Hedge Ratios
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