Optimal conditional hedge ratio: A simple shrinkage estimation approach
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
More about this item
KeywordsConditional hedge ratio; Shrinkage method; Hedge performance;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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