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Multiperiod hedging in the presence of stochastic volatility

  • Lien, Donald
  • Wilson, Bradley K.
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    File URL: http://www.sciencedirect.com/science/article/B6W4W-44MX95B-3/2/40704d9363d24bc1c00524dcf9ddd170
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 10 (2001)
    Issue (Month): 4 ()
    Pages: 395-406

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    Handle: RePEc:eee:finana:v:10:y:2001:i:4:p:395-406
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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    1. 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.
    2. 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.
    3. John F. Geweke, 1994. "Bayesian comparison of econometric models," Working Papers 532, Federal Reserve Bank of Minneapolis.
    4. Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.
    5. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992. "A Utility Based Comparison of Some Models of Exchange Rate Volatility," NBER Technical Working Papers 0128, National Bureau of Economic Research, Inc.
    6. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Wiley Blackwell, vol. 61(2), pages 247-64, April.
    7. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
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