Mohsen Mehrara, Monire Hamldar, Optimal Hedge Ratio for Brent Oil Market; Baysian Approach, Volume 37, International Letters of Social and Humanistic Sciences (Volume 37)
https://www.scipress.com/ILSHS.37.82
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.
Keywords:
    BVAR, Edrington's Efficiency Index, OHR, Optimal Hedging Ratio, VAR, VECM