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Optimal hedging ratio modeling using interday and intraday risk estimation: Moving window regression vs. cointegration approach.
Henry Penikas
Igor Sirotkin
Published in:
Model. Assist. Stat. Appl. (2016)
Keyphrases
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moving window
risk management
regression model
optimal solution
exchange rate
computer vision
linear regression
optimal control
support vector regression
feature extraction
model selection
multi variate