Dynamic hedging with non-martingale futures prices and time-varying volatilities
Conventional hedging theory fails to take into account a number of stylized facts about exchange rate dynamics, most importantly the time-varying nature of volatility and the cointegration between spot and futures prices. In an effort to address this, recent studies have re-examined the hedging pr...
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| Language: | English |
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2009
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| Online Access: | http://hdl.handle.net/2429/4656 |