Calculating the optimal hedge ratio: Constant, time varying and the Kalman Filter approach

Applied Economics Letters

Volumn 13, Issue 5, 2006, Pages 293-299

  Hatemi J, Abdulnasser ^a,b   Roca, Eduardo ^b  

^a UNIVERSITY OF SKÖVDE   (Sweden)

^b GRIFFITH UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC GEOGRAPHY; KALMAN FILTER; MODELING; STATISTICAL ANALYSIS;

EID: 33646360237     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/13504850500365848     Document Type: Article

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