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Estimating Optimal Hedge Ratio with Unknown Structural Breaks

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  • Abdulnasser Hatemi-J
  • Eduardo Roca

Abstract

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Suggested Citation

  • Abdulnasser Hatemi-J & Eduardo Roca, 2010. "Estimating Optimal Hedge Ratio with Unknown Structural Breaks," Discussion Papers in Finance finance:201010, Griffith University, Department of Accounting, Finance and Economics.
  • Handle: RePEc:gri:fpaper:finance:201010
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    File URL: https://www120.secure.griffith.edu.au/research/items/37e3f5b9-05e0-8044-213d-fed5502226f9/1/2010-10-estimating-optimal-hedge-ratio-with-unknown-structural-breaks.pdf
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    References listed on IDEAS

    as
    1. Abdulnasser Hatemi-J, 2008. "Tests for cointegration with two unknown regime shifts with an application to financial market integration," Empirical Economics, Springer, vol. 35(3), pages 497-505, November.
    2. Abdulnasser Hatemi-J, 2009. "CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks," Statistical Software Components G00006, Boston College Department of Economics.
    3. Abdulnasser Hatemi-J & Eduardo Roca, 2006. "Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach," Applied Economics Letters, Taylor & Francis Journals, vol. 13(5), pages 293-299.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Optimal Hedge Ratio; Multiple Breaks; US; UK;

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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