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 estimate OHR, we employ multivariate BEKK MV-GARCH model. At last, the efficiency of this approach are compared with the constant OHR captured from OLS through Edrington's index.
International Letters of Social and Humanistic Sciences (Volume 56)
M. Mehrara and M. Hamldar, "Time-Varying Optimal Hedge Ratio for Brent Oil Market", International Letters of Social and Humanistic Sciences, Vol. 56, pp. 103-106, 2015