Optimal conditional hedge ratio : a simple shrinkage estimation approach
Year of publication: |
September 2016
|
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Authors: | Kim, Myeong Jun ; Park, Sung Y. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 38.2016, Part A, p. 139-156
|
Subject: | Conditional hedge ratio | Shrinkage method | Hedge performance | Theorie | Theory | Hedging | Schätzung | Estimation | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
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