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Optimal Hedge Ratio for Brent Oil Market; Baysian Approach

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Abstract:

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.

Info:

Periodical:
International Letters of Social and Humanistic Sciences (Volume 37)
Pages:
82-87
DOI:
10.18052/www.scipress.com/ILSHS.37.82
Citation:
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
Online since:
Aug 2014
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