TY - GEN
AU - Hamldar, Monire
AU - Mehrara, Mohsen
TI - Time-Varying Optimal Hedge Ratio for Brent Oil Market
KW - Erdöl
KW - Rohstoff
KW - Markt
KW - Risikomanagement
KW - Preis
KW - BEKK
KW - Efficiency
KW - Multivariate GARCH Models
KW - OHR
PY - 2015
N2 - Veröffentlichungsversion
N2 - begutachtet (peer reviewed)
N2 - In: International Letters of Social and Humanistic Sciences (2015) 56 ; 103-106
N2 - 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.
UR - http://slubdd.de/katalog?TN_libero_mab2
ER -
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