• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • (CANCELED) Econometrics and Data Science Methods
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times

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
Download here