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Hamldar, Monire [Author]; Mehrara, Mohsen [Author]

Time-Varying Optimal Hedge Ratio for Brent Oil Market

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  • Media type: E-Book
  • Title: Time-Varying Optimal Hedge Ratio for Brent Oil Market
  • Contributor: Hamldar, Monire [Author]; Mehrara, Mohsen [Author]
  • imprint: 2015
  • Language: English
  • DOI: https://doi.org/10.18052/www.scipress.com/ILSHS.56.103
  • Identifier:
  • Keywords: Erdöl ; Rohstoff ; Markt ; Risikomanagement ; Preis ; BEKK ; Efficiency ; Multivariate GARCH Models ; OHR
  • Origination:
  • Footnote: Veröffentlichungsversion
    begutachtet (peer reviewed)
    In: International Letters of Social and Humanistic Sciences (2015) 56 ; 103-106
  • Description: 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.
  • Access State: Open Access
  • Rights information: Attribution (CC BY)