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Optimum phase ratio in the triple jump

โœ Scribed by Bing Yu; James G. Hay

Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
666 KB
Volume
29
Category
Article
ISSN
0021-9290

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๐Ÿ“œ SIMILAR VOLUMES

Optimal hedge ratios in the presence of
Optimal hedge ratios in the presence of common jumps
โœ Wing Hong Chan ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 84 KB ๐Ÿ‘ 2 views

## Abstract This study derives optimal hedge ratios with infrequent extreme news events modeled as common jumps in foreign currency spot and futures rates. A dynamic hedging strategy based on a bivariate GARCH model augmented with a common jump component is proposed to manage currency risk. We find