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Time-varying Hedge Ratios: A Principal-agent Approach

โœ Scribed by John K. M. Kuwornu; W. Erno Kuiper; Joost M. E. Pennings; Matthew T. G. Meulenberg

Book ID
111223507
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
186 KB
Volume
56
Category
Article
ISSN
0021-857X

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## Abstract Bollerslev's (1990, __Review of Economics and Statistics__, 52, 5โ€“59) constant conditional correlation and Engle's (2002, __Journal of Business & Economic Statistics__, 20, 339โ€“350) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity

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