Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10003647092
Persistent link: https://www.econbiz.de/10008799131
Persistent link: https://www.econbiz.de/10003985029
Persistent link: https://www.econbiz.de/10002187102
Persistent link: https://www.econbiz.de/10011596312
Persistent link: https://www.econbiz.de/10012036617
Empirical evidence suggests that unconditional variance of exchange rate return series is subject to occasional structural breaks that may induce spurious phenomenon of high persistence and long memory of volatility processes. In this paper, we investigate the effects of such breaks on estimated...
Persistent link: https://www.econbiz.de/10013150780
Dynamic minimum variance hedge ratios (MVHRs) have been commonly estimated using Bivariate GARCH model that overlooks basis effect on the time-varying variance-covariance of spot and futures returns. This paper proposes an alternative specification of the BGARCH model in which the basis effect...
Persistent link: https://www.econbiz.de/10014026365