Optimal hedging with the cointegrated vector autoregressive model
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- 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.
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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)
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