Time-Varying Optimal Hedge Ratio for Brent Oil Market
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
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:
July 2015
Authors:
Keywords:
Distribution:
Open Access
This work is licensed under a
Creative Commons Attribution 4.0 International License
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