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Hedging Canadian Short-Term Interest Rates: The Bax Market - John Siam
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Hedging Canadian Short-Term Interest Rates: The Bax Market - Taschenbuch

ISBN: 9783838302041

[ED: Taschenbuch], [PU: LAP Lambert Academic Publishing], Neuware - This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio., DE, [SC: 0.00], Neuware, gewerbliches Angebot, 220x150x9 mm, 152, [GW: 243g], PayPal, offene Rechnung, Banküberweisung, sofortueberweisung.de, Interntationaler Versand

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Hedging Canadian Short-Term Interest Rates: The Bax Market - John Siam
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John Siam:
Hedging Canadian Short-Term Interest Rates: The Bax Market - Taschenbuch

2015, ISBN: 3838302044

ID: 22505009809

[EAN: 9783838302041], Neubuch, [PU: LAP Lambert Academic Publishing Mrz 2015], Neuware - This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio. 152 pp. Englisch

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HEDGING CANADIAN SHORT-TERM INTEREST RATES: THE BAX MARKET - Siam, John
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Siam, John:
HEDGING CANADIAN SHORT-TERM INTEREST RATES: THE BAX MARKET - Taschenbuch

2009, ISBN: 9783838302041

[ED: Softcover], [PU: Lap Lambert Academic Publishing], This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio. 2009. 152 S. Versandfertig in 3-5 Tagen, [SC: 0.00]

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Hedging Canadian Short-Term Interest Rates: The Bax Market - John Siam
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John Siam:
Hedging Canadian Short-Term Interest Rates: The Bax Market - neues Buch

ISBN: 9783838302041

ID: d0297ec465b23d6ee8ec1d4871ccfeb5

This work adds to the body of literature seeking to improve the estimation of the optimal hedge ratio used in hedging money market and fixed income securities. A more accurate or improved depiction of the hedge ratio is of considerable importance and is the primary goal. The specific futures contract analyzed is the Canadian Bankers= Acceptance Futures contract, the BAX (Montreal Exchange). The efficiency of the BAX market is also addressed. A univariate analysis of the BAX and the BA is presented in a general framework that permits the statistical evaluation of myriad dynamic volatility models which have been used in such contexts. Finally, brief background and motivation for the hedge ratio, surveys early attempts at characterizing the hedge ratio and presents the bivariate models needed to estimate the hedge ratio. Most importantly, the general univariate framework used extensively in the previous chapter is extended to the bivariate case. The hedging performance of the models is then evaluated. We also discuss whether there is any practical value in using daily data, versus weekly data, in the determination of the hedge ratio. Bücher / Sozialwissenschaften, Recht & Wirtschaft / Wirtschaft

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HEDGING CANADIAN SHORT-TERM INTEREST RATES: THE BAX MARKET - Siam, John
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Siam, John:
HEDGING CANADIAN SHORT-TERM INTEREST RATES: THE BAX MARKET - neues Buch

ISBN: 3838302044

ID: 5299666

LAP Lambert Acad. Publ.

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Detailangaben zum Buch - HEDGING CANADIAN SHORT-TERM INTEREST RATES: THE BAX MARKET


EAN (ISBN-13): 9783838302041
ISBN (ISBN-10): 3838302044
Taschenbuch
Erscheinungsjahr: 2009
Herausgeber: LAP Lambert Academic Publishing

Buch in der Datenbank seit 04.03.2009 15:44:52
Buch zuletzt gefunden am 23.09.2017 13:04:43
ISBN/EAN: 9783838302041

ISBN - alternative Schreibweisen:
3-8383-0204-4, 978-3-8383-0204-1


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