A note on the hedging effectiveness of GARCH models
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References listed on IDEAS
- Donald Lien & Y. K. Tse & Albert Tsui, 2002. "Evaluating the hedging performance of the constant-correlation GARCH model," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 791-798.
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KeywordsConventional hedge ratio GARCH hedge ratio Hedging effectiveness;
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