Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference59 articles.
1. Effectiveness of minimum-variance hedging;Alexander;Portfolio Management,2007
2. More on estimation risk and simple rules for optimal portfolio selection;Alexander;Journal of Finance,1985
3. Risk, Time-Varying Second Moments and Market Efficiency;Attanasio;Review of Economic Studies,1991
4. Bivariate GARCH estimation of the optimal commodity futures hedge;Baillie;Journal of Applied Econometrics,1991
5. Estimating hedge ratios;Bell;Financial Management,1986
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