Optimal hedging with the cointegrated vector autoregressive model

Publikation: Working paper › Forskning

Standard

Optimal hedging with the cointegrated vector autoregressive model. / Gatarek, Lukasz; Johansen, Søren.

Copenhagen : Økonomisk institut, Københavns Universitet, 2014.

Publikation: Working paper › Forskning

Harvard

Gatarek, L & Johansen, S 2014 'Optimal hedging with the cointegrated vector autoregressive model' Økonomisk institut, Københavns Universitet, Copenhagen. <https://www.econ.ku.dk/english/research/publications/wp/dp_2014/1422.pdf>

APA

Gatarek, L., & Johansen, S. (2014). Optimal hedging with the cointegrated vector autoregressive model. Økonomisk institut, Københavns Universitet. University of Copenhagen. Institute of Economics. Discussion Papers (Online) Bind 2014 Nr. 22 https://www.econ.ku.dk/english/research/publications/wp/dp_2014/1422.pdf

Vancouver

Gatarek L, Johansen S. Optimal hedging with the cointegrated vector autoregressive model. Copenhagen: Økonomisk institut, Københavns Universitet. 2014.

Author

Gatarek, Lukasz ; Johansen, Søren. / Optimal hedging with the cointegrated vector autoregressive model. Copenhagen : Økonomisk institut, Københavns Universitet, 2014. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 22, Bind 2014).

Bibtex

@techreport{0688ad6ab9884675bf43ef9e77fb0121,
title = "Optimal hedging with the cointegrated vector autoregressive model",
keywords = "Faculty of Social Sciences",
author = "Lukasz Gatarek and S{\o}ren Johansen",
note = "JEL Classification: D03, D42, D83",
year = "2014",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "22",
publisher = "{\O}konomisk institut, K{\o}benhavns Universitet",
type = "WorkingPaper",
institution = "{\O}konomisk institut, K{\o}benhavns Universitet",

}

RIS

TY - UNPB

T1 - Optimal hedging with the cointegrated vector autoregressive model

AU - Gatarek, Lukasz

AU - Johansen, Søren

N1 - JEL Classification: D03, D42, D83

PY - 2014

Y1 - 2014

KW - Faculty of Social Sciences

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - Optimal hedging with the cointegrated vector autoregressive model

PB - Økonomisk institut, Københavns Universitet

CY - Copenhagen

ER -

ID: 126894232