Liu, Yanxin; Li, Johnny Siu-Hang - In: Risks : open access journal 11 (2023) 12, pp. 1-18
trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent … uncorrelated. This permits us to disentangle trend risk and population basis risk, thereby sparing us from the need to use a … improved robustness in terms of correlation structures and hedging performance, offering a new perspective on treating cross …