Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks

European Journal of Finance

Volumn 7, Issue 3, 2001, Pages 269-283

  Sim, Ah Boon ^a   Zurbruegg, Ralf ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b UNIVERSITY OF ADELAIDE   (Australia)

Author keywords

Hedge Ratios Hedging Strategies Cointegrated Time VARYING Risk Ftse 100

Indexed keywords

EID: 10244268475     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470110046153     Document Type: Article

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