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~institution:"Department of Econometrics and Business Statistics, Monash Business School"
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Department of Econometrics and Business Statistics, Monash Business School
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Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model
Dark, Jonathan
-
Department of Econometrics and Business Statistics, …
-
2004
) are considered. The results strongly support the estimation of dynamic MVHRs that allow for
time
varying
correlations
…
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