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September 18, 2026
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Выбор модели для расчета динамического коэффициента хеджирования

С. 701–711.
Lakshina V. V.
Language: Russian
Full text
Keywords: многомерные модели волатильностиmultivariate volatility modelshedge effectivenessэффективность хеджирования

In book

XVI Апрельская международная научная конференция по проблемам развития экономики и общества: в 4 кн.
XVI Апрельская международная научная конференция по проблемам развития экономики и общества: в 4 кн.
Кн. 1. , М.: Издательский дом НИУ ВШЭ, 2016.
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The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. In this paper we explore data on daily stock returns of 67 companies from oil and gas sector from 13 countries. The volatility spillovers are estimated via spatial specification of the BEKK model. By means of ...
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Hedging is one of the most popular strategies for market risk management. Hedging is aimed at decreasing the volatility, or variability, of portfolio returns. The portfolio usually consists of the spot assets and hedging instruments. The latter can be represented by futures, options and over-the-counter assets such as forwards and swaps. While futures’ hedging is ...
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Added: October 2, 2014
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