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Jack (Jacques) A. Schnabel

Futures Hedges under Basis Heteroscedasticity


Dr. Jacques A. Schnabel and Dr. Subhankar Nayak

published: 2012 | Research publication | Publications

This article discusses futures hedging when the basis exhibits a variance that rises with the spot value of the exchange rate, i.e. the basis is not homoscedastic but instead heteroscedastic.  This paper was published in ISRN (International Scholarly Research Network) Economics Volume 2012 December 2012 Article ID 481856 5 pages.

Download: PDF (469k)    Futures_Hedges_under_Basis_Heteroscedasticity_published.pdf

revised Dec 13/12

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