Optimal hedging with the cointegrated vector autoregressive model

Original language	English
Place of Publication	Copenhagen
Publisher	Økonomisk institut, Københavns Universitet
Number of pages	11
Publication status	Published - 2014

Series	University of Copenhagen. Institute of Economics. Discussion Papers (Online)
Number	22
Volume	2014
ISSN	1601-2461

Keywords

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title = "Optimal hedging with the cointegrated vector autoregressive model",

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author = "Lukasz Gatarek and S{\o}ren Johansen",

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