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Estimating Optimal Hedge Ratio with Unknown Structural Breaks

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  • Abdulnasser Hatemi-J
  • Eduardo Roca

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File URL: https://www120.secure.griffith.edu.au/research/items/37e3f5b9-05e0-8044-213d-fed5502226f9/1/2010-10-estimating-optimal-hedge-ratio-with-unknown-structural-breaks.pdf
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Paper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:201010.

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Date of creation: Oct 2010
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Handle: RePEc:gri:fpaper:finance:201010

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Keywords: Optimal Hedge Ratio; Multiple Breaks; US; UK;

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  1. Abdulnasser Hatemi-J, 2008. "Tests for cointegration with two unknown regime shifts with an application to financial market integration," Empirical Economics, Springer, Springer, vol. 35(3), pages 497-505, November.
  2. Abdulnasser Hatemi-J, 2009. "CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks," Statistical Software Components, Boston College Department of Economics G00006, Boston College Department of Economics.
  3. Abdulnasser Hatemi-J & Eduardo Roca, 2006. "Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(5), pages 293-299.
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