Brooks et al., 2001 - Google Patents
The cross‐currency hedging performance of implied versus statistical forecasting modelsBrooks et al., 2001
View PDF- Document ID
- 8363788347328829700
- Author
- Brooks C
- Chong J
- Publication year
- Publication venue
- Journal of Futures Markets: Futures, Options, and Other Derivative Products
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Snippet
This article examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate generalized autoregressive conditionally heteroscedastic (GARCH) models, and exponentially weighted and simple …
- 238000000034 method 0 description 11
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