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type_genre:"Forschungsbericht"
~person:"Dark, Jonathan"
~type_genre:"Article in journal"
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Search: subject_exact:"Vector error correction model"
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Dark, Jonathan
Bahmani-Oskooee, Mohsen
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Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
Dark, Jonathan
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 269-285
Persistent link: https://www.econbiz.de/10011586925
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2
Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures
Dark, Jonathan
-
2004
Persistent link: https://www.econbiz.de/10002005559
Saved in:
3
Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures
Dark, Jonathan
-
2004
Persistent link: https://www.econbiz.de/10002005584
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4
Basis convergence and long memory in volatility when dynamic hedging with SPI futures
Dark, Jonathan
-
2004
Persistent link: https://www.econbiz.de/10002005599
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5
Basis convergence and long memory in volatility when dynamic hedging with futures
Dark, Jonathan
- In:
Journal of financial and quantitative analysis : JFQA
42
(
2007
)
4
,
pp. 1021-1040
Persistent link: https://www.econbiz.de/10003587040
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