Enhancing hedging performance with the spanning polynomial projection
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Publication:3539545
DOI10.1080/14697680701570101zbMath1152.91723OpenAlexW2042181121MaRDI QIDQ3539545
Publication date: 18 November 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701570101
trading costsforecasting abilityforecasting applicationsderivatives hedginghedging errorshedging techniqueshedging with utility-based preferencesimplementation of optimal hedging
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Cites Work
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- Generalized autoregressive conditional heteroscedasticity
- Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- The likelihood function of stationary autoregressive-moving average models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
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