Optimal hedging with a regime-switching time-varying correlation GARCH model.
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| Title: | Optimal hedging with a regime-switching time-varying correlation GARCH model. |
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| Authors: | Lee, Hsiang-Tai1 sagerlee@ncnu.edu.tw, Yoder, Jonathan2 |
| Source: | Journal of Futures Markets. May2007, Vol. 27 Issue 5, p495-516. 22p. 3 Charts, 12 Graphs. |
| Database: | Business Source Ultimate |
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