Multiperiod hedging in the presence of stochastic volatility
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference25 articles.
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2. GMM estimation of a stochastic volatility model: a Monte Carlo Study;Anderson;Journal of Business and Economic Statistics,1996
3. Bivariate GARCH estimation of the optimal community futures hedge;Baillie;Journal of Applied Econometrics,1991
4. Estimating hedge ratios;Bell;Financial Management,1986
5. On the exact covariance of products of random variables;Bohrnstedt;Journal of American Statistical Association,1969
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