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International Letters of Social and Humanistic Sciences
Volume 56
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Time-Varying Optimal Hedge Ratio for Brent Oil Market

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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 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.

Info:

Periodical:
International Letters of Social and Humanistic Sciences (Volume 56)
Pages:
103-106
DOI:
10.18052/www.scipress.com/ILSHS.56.103
Citation:
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
Online since:
Jul 2015
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