The asymmetric commodity inventory effect on the optimal hedge ratio
Year of publication: |
2012-05-09
|
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Authors: | CARPANTIER, Jean-François ; SAMKHARADZE, Besik |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | BEKK | commodity | asymmetries | hedging | inventory effect |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2012020 |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C32 - Time-Series Models ; q02 |
Source: |
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