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.
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revised Dec 13/12
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