Amanote Research

Amanote Research

    RegisterSign In

Optimal Hedging With the Vector Autoregressive Model

SSRN Electronic Journal
doi 10.2139/ssrn.2395970
Full Text
Open PDF
Abstract

Available in full text

Date

January 1, 2014

Authors
Lukasz T. GatarekSoren Johansen
Publisher

Elsevier BV


Related search

Constrained Estimation of Mixture Vector Autoregressive Model

2011English

Optimal Discrete Hedging in the Heston Stochastic Volatility Model

SSRN Electronic Journal
2007English

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

SSRN Electronic Journal
2010English

Optimal Continuous-Time Hedging With Leptokurtic Returns

SSRN Electronic Journal
2005English

Empirical Vector Autoregressive Modeling

Lecture Notes in Economics and Mathematical Systems
MathematicsEconomicsEconometricsFinance
1994English

Estimating Point and Density Forecasts for the US Economy With a Factor-Augmented Vector Autoregressive DSGE Model

Studies in Nonlinear Dynamics and Econometrics
EconomicsSocial SciencesAnalysisEconometrics
2015English

Forecasting With Global Vector Autoregressive Models: A Bayesian Approach

Journal of Applied Econometrics
EconomicsEconometricsSocial Sciences
2016English

Robust Estimation of the Vector Autoregressive Model by a Least Trimmed Squares Procedure

English

Mean Square Optimal Hedging With Non-Uniform Rebalancing Intervals

SICE Journal of Control, Measurement, and System Integration
2009English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy