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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
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:
August 2014
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References:

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Sims C.A., Tao Zha, International Economic Review 39(4) (1998) 949-968. ( Received 03 August 2014; accepted 11 August 2014 ) OHR Var (��) Var (��) Cov (��, ��).

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000368 Future1 Hedging Effectiveness, E Var (H) Cov (U).

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000468 Future1.

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