Estimating Optimal Hedge Ratio with Unknown Structural Breaks
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Bibliographic InfoPaper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:201010.
Date of creation: Oct 2010
Date of revision:
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More information through EDIRC
Optimal Hedge Ratio; Multiple Breaks; US; UK;
Find related papers by JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- 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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