Mohsen Mehrara, Monire Hamldar, Time-Varying Optimal Hedge Ratio for Brent Oil Market, ILSHS Volume 56, International Letters of Social and Humanistic Sciences (Volume 56)
https://www.scipress.com/ILSHS.56.103
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.
Keywords:
    BEKK, Efficiency, Multivariate GARCH Models, OHR