Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/1351847X.2013.794744
Reference54 articles.
1. Estimating stock market volatility using asymmetric GARCH models
2. Stock Returns and Volatility
3. Bivariate garch estimation of the optimal commodity futures Hedge
4. Multivariate GARCH models: a survey
5. ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS
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