Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement
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- Viviana Fernandez, 2008. "Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(2), pages 182-207, February.
References listed on IDEAS
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- Tzagkarakis George & Dionysopoulos Thomas & Achim Alin, 2016. "Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 75-96, February.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-05 (All new papers)
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