Work

Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach

Year: 2006

Type: article

Source: Applied Economics Letters

DOI: 10.1080/13504850500365848

Authors: Abdulnasser Hatemi-J, Eduardo Roca

Institutions: Griffith University, University of Skövde

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2122432142

FWCI: 1.701

Cites: 32

Cited by: 33

Related to: 10