Multi-period hedge ratios for a multi-asset portfolio when accounting for returns co-movement-Reference-Cited by-同舟云学术

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Multi-period hedge ratios for a multi-asset portfolio when accounting for returns co-movement

Published:2007 Issue:2 Volume:28 Page:182-207
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Fernandez Viviana

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference38 articles.

1. (2004). Statistical analysis of financial data in Splus. New York: Springer-Verlag.

2. Estimation of the Optimal Futures Hedge

3. Wavelet Transforms and Commodity Prices

4. Bivariate option pricing with copulas

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