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Now showing items 1-2 of 2

  • Hedging and Value at Risk 

    Harris, Richard D. F.; Shen, Jian (University of Exeter, Xfi Centre for Finance and Investment, 2004-10)
  • The limits to minimum-variance hedging 

    Harris, Richard D. F.; Shen, Jian; Stoja, Evarist (Wiley-Blackwell, 2010-06)
    In this paper, we compare the estimated minimum-variance hedge ratios from a range of conditional hedging models with the 'realized' minimum variance hedge ratio constructed using intraday data. We show that the reduction ...