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Hedging with stock index futures: Estimation and forecasting with error correction model

✍ Scribed by Asim Ghosh


Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
528 KB
Volume
13
Category
Article
ISSN
0270-7314

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## Abstract This paper considers Markov error‐correction (MEC) models in which deviations from the long‐run equilibrium are characterized by different rates of adjustment. To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the lo