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Assessing the Effectiveness of Local and Global Quadratic Hedging under GARCH Models
Assessing the Effectiveness of Local and Global Quadratic Hedging under GARCH Models This presentation investigates the empirical and practical relevance of local and global risk-minimization.- Authors: Maciej Augustyniak, Frédéric Godin, Clarence Simard
- Date: Mar 2017
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management