The role of long memory in hedging effectiveness

Computational Statistics and Data Analysis

Volumn 52, Issue 6, 2008, Pages 3075-3082

  Coakley, Jerry ^a   Dollery, Jian ^a   Kellard, Neil ^a  

^a UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

Commodities; FIEC BEKK; Fractional cointegration; Optimal hedge ratio

Indexed keywords

ERROR CORRECTION; MULTIVARIANT ANALYSIS; NUMERICAL METHODS; OPTIMAL SYSTEMS; PROBLEM SOLVING; SAMPLING;

FRACTIONAL COINTEGRATION; MEMORY COMPONENTS; OPTIMAL HEDGE RATIO; VARIANCE REDUCTION;

STATISTICAL PROCESS CONTROL;

EID: 39149107804     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.10.019     Document Type: Article

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