Multiperiod hedging in the presence of stochastic volatility
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- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
- P. V. Viswanath, 1993. "Efficient use of information, convergence adjustments, and regression estimates of hedge ratios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(1), pages 43-53, 02.
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"GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study,"
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- Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen, . "EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Computing in Economics and Finance 1997 6, Society for Computational Economics.
- Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992.
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- West, Kenneth D. & Edison, Hali J. & Cho, Dongchul, 1993. "A utility-based comparison of some models of exchange rate volatility," Journal of International Economics, Elsevier, vol. 35(1-2), pages 23-45, August.
- Kenneth D. West & Hali J. Edison & Dongchul Cho, 1993. "A utility based comparison of some models of exchange rate volatility," International Finance Discussion Papers 441, Board of Governors of the Federal Reserve System (U.S.).
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"Multivariate Stochastic Variance Models,"
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Wiley Blackwell, vol. 61(2), pages 247-64, April.
- Tom Doan, . "RATS programs to estimate multivariate stochastic volatility models," Statistical Software Components RTZ00093, Boston College Department of Economics.
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