Futures hedging using dynamic models of
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Ponladesh Poomimars; John Cadle; Michael Theobald
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Article
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2003
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John Wiley and Sons
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English
β 231 KB
## Abstract Dynamic futuresβhedging ratios are estimated across seven markets using generalized models of the variance/covariance structure. The hedging performances of the resultant dynamic strategies are then compared with static and naΓ―ve strategies, both inβ and outβofβsample. Bayesianβadjusted