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Brooks et al., 2001 - Google Patents

The cross‐currency hedging performance of implied versus statistical forecasting models

Brooks et al., 2001

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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 …
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