Browsing College of Business and Law by Subject "Scaling"

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Browsing College of Business and Law by Subject "Scaling"

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  • Cotter, John ; Hanly, Jim (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-08)
    This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over ...

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