This paper examines the optimal hedging ratio (OHR) for the Brent Crude Oil Futures using daily data over the period 1990/17/8-2014/11/3. To gain OHR, it is employed a Vector Autoregressive (VAR) and Vector Error Correction (VEC) and Baysian Vector Autoregressive (BVAR) models. At last, the efficiency of these calculated OHR are compared through Edrington's index.
International Letters of Social and Humanistic Sciences (Volume 37)
M. Mehrara and M. Hamldar, "Optimal Hedge Ratio for Brent Oil Market; Baysian Approach", International Letters of Social and Humanistic Sciences, Vol. 37, pp. 82-87, 2014