Optimal hedging with the cointegrated vector autoregressive model
Year of publication: |
2014-09-08
|
---|---|
Authors: | Johansen, Søren ; Nielsen, Bent |
Institutions: | Økonomisk Institut, Københavns Universitet |
Subject: | Huber-skip M-estimators | 1-step Huber-skip M-estimators | iteration | Forward Search | Impulse Indicator Saturation | Robustified Least Squares | weighted and marked empirical processes | iterated martingale inequality | gauge |
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