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The role of cointegration for optimal hedging with heteroscedastic error term
Lukasz Gatarek,
Søren Johansen
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Dive into the research topics of 'The role of cointegration for optimal hedging with heteroscedastic error term'. Together they form a unique fingerprint.
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Keyphrases
Bounded Risk
25%
Cointegrated Vector Autoregressive Model
25%
Cointegrating Vector
25%
Cointegration
100%
Conditional Heteroscedasticity
25%
Conditional Variance
75%
Conditional Volatility
25%
Error Term
100%
Expected Returns
25%
Forward Contracts
50%
Fuel Prices
25%
Given Information
25%
Hedge Portfolio
25%
Heteroscedastic Errors
100%
Heteroscedasticity
50%
Martingale
25%
Minimum Variance
25%
Mixing Conditions
25%
Optimal Hedging
100%
Reduced Rank Regression
25%
Regression Method
50%
Sharpe Ratio
25%
Short Horizon
25%
Economics, Econometrics and Finance
Hedging
100%
Price
100%
Volatility
25%