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14-022/III - Optimal Hedging with the Vector Autoregressive Model


  • Authors
    Lukasz Gatarek, Erasmus University Rotterdam; Søren Johansen, University of Copenhagen, CREATES, Denmark
  • Publication date
    February 18, 2014
  • Keywords
    hedging, cointegration, minimum variance portfolio
  • JEL
    C22, C58, G11