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Statistical properties of post-sample hedging effectiveness

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  • Lien, Donald

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  • Lien, Donald, 2007. "Statistical properties of post-sample hedging effectiveness," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 293-300.
    • Handle: RePEc:eee:finana:v:16:y:2007:i:3:p:293-300
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    References listed on IDEAS

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    1. Lien, Donald, 2005. "The use and abuse of the hedging effectiveness measure," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 277-282.
    2. Robert J. Myers & Stanley R. Thompson, 1989. "Generalized Optimal Hedge Ratio Estimation," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(4), pages 858-868.
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    1. John Hua Fan & Eduardo Roca & Alexandr Akimov, 2014. "Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 73-91, February.

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