Optimal hedging with the cointegrated vector autoregressive model
Research output: Working paper › Research
Standard
Optimal hedging with the cointegrated vector autoregressive model. / Gatarek, Lukasz; Johansen, Søren.
Copenhagen : Økonomisk institut, Københavns Universitet, 2014.Research output: Working paper › Research
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) Vol. 2014 No. 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
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