Conditional OLS Minimum Variance Hedge Ratio
本文档由 enbook 分享于2010-10-25 06:33
The paper proposes a new methodology to estimate time dependent minimum variance hedge ratios that capture the predictability of returns. Compared to the existing literature on hedging, the advantages of the so called conditional OLS hedge ratio are threefold. First, it recognizes the less than perfect correlation between spot and futures prices. Second, it captures the stochastic..
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