ListarCOFIN_Articles por tema "Finance"

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    • closedAccess   Sudden changes in variance and time varying hedge ratios 

      Aragó, Vicent; Salvador, Enrique Elsevier (2011-12)
      This paper analyzes the influence of sudden changes in the unconditional volatility on the estimation and forecast of volatility and its impact on futures hedging strategies. We employ several multivariate GARCH models to ...