Model-free hedge ratios and scale-invariant models

B-Tier

Journal: Journal of Banking & Finance

Year: 2007

Volume: 31

Issue: 6

Pages: 1839-1861

Authors (2)

Alexander, Carol (University of Sussex) Nogueira, Leonardo M. (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count