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)
    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.
    BEKK, Efficiency, Multivariate GARCH Models, OHR