Optimal hedging with the cointegrated vector autoregressive model
Download full text from publisher
Other versions of this item:
- Søren Johansen & Lukasz Gatarek, 2014. "Optimal hedging with the cointegrated vector autoregressive model," CREATES Research Papers 2014-40, Department of Economics and Business Economics, Aarhus University.
- Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
References listed on IDEAS
- Kilian, Lutz & Demiroglu, Ufuk, 2000. "Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 40-50, January.
- Liese, F. & Vajda, I., 1994. "Consistency of M-Estimates in General Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 93-114, July.
- Kevin D. Hoover & Stephen J. Perez, 1999.
"Data mining reconsidered: encompassing and the general-to-specific approach to specification search,"
Royal Economic Society, vol. 2(2), pages 167-191.
- Kevin D. Hoover & Stephen J. Perez, "undated". "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Department of Economics 97-27, California Davis - Department of Economics.
- Kevin Hoover & Stephen J. Perez, 2003. "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Working Papers 9727, University of California, Davis, Department of Economics.
- David F. Hendry & Hans-Martin Krolzig, 2005.
"The Properties of Automatic "GETS" Modelling,"
Royal Economic Society, vol. 115(502), pages 32-61, March.
- David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Papers 2003-W14, Economics Group, Nuffield College, University of Oxford.
- Hendry, David F & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003 105, Royal Economic Society.
- Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
- Marco Riani & Anthony C. Atkinson & Andrea Cerioli, 2009.
"Finding an unknown number of multivariate outliers,"
Journal of the Royal Statistical Society Series B,
Royal Statistical Society, vol. 71(2), pages 447-466.
- Riani, Marco & Atkinson, Anthony C. & Cerioli, Andrea, 2009. "Finding an unknown number of multivariate outliers," LSE Research Online Documents on Economics 30462, London School of Economics and Political Science, LSE Library.
- Kathryn Graddy, 2006. "Markets: The Fulton Fish Market," Journal of Economic Perspectives, American Economic Association, vol. 20(2), pages 207-220, Spring.
- Cavaliere, Giuseppe & Georgiev, Iliyan, 2013.
"Exploiting Infinite Variance Through Dummy Variables In Nonstationary Autoregressions,"
Cambridge University Press, vol. 29(06), pages 1162-1195, December.
- Giuseppe Cavaliere & Iliyan Georgiev, 2013. "Exploiting infinite variance through Dummy Variables in non-stationary autoregressions," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna.
- repec:bot:quadip:118 is not listed on IDEAS
- Chen, X. R. & Wu, Y. H., 1988. "Strong consistency of M-estimates in linear models," Journal of Multivariate Analysis, Elsevier, vol. 27(1), pages 116-130, October.
- David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
- Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Kathryn Graddy, 1995.
"Testing for Imperfect Competition at the Fulton Fish Market,"
RAND Journal of Economics,
The RAND Corporation, vol. 26(1), pages 75-92, Spring.
- Graddy, K., 1993. "Testing for Imperfect Competition at the Fulton Fish Market," Papers 137, Princeton, Department of Economics - Financial Research Center.
- Carlos Santos & David Hendry & Soren Johansen, 2008.
"Automatic selection of indicators in a fully saturated regression,"
Springer, vol. 23(2), pages 317-335, April.
- David Hendry & Søren Johansen & Carlos Santos, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 337-339, April.
- Bent Nielsen & Soren Johansen, 2010. "Discussion of The Forward Search: Theory and Data Analysis," Economics Series Working Papers 2010-W02, University of Oxford, Department of Economics.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
More about this item
KeywordsHuber-skip M-estimators; 1-step Huber-skip M-estimators; iteration; Forward Search; Impulse Indicator Saturation; Robustified Least Squares; weighted and marked empirical processes; iterated martingale inequality; gauge.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-11-07 (All new papers)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kud:kuiedp:1423. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Hoffmann) or (Rebekah McClure). General contact details of provider: http://edirc.repec.org/data/okokudk.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.