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The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this...
Persistent link: https://www.econbiz.de/10011372522
we introduce a general multivariate framework for the time series analysis of risk that is modelled as a latent process … present a general model for the analysis of risk and discuss its statistical treatment based on linear state space methods … the general methodology can be effectively used in the assessment of risk. …
Persistent link: https://www.econbiz.de/10011348356