Anmerkungen:
Veröffentlichungsversion
begutachtet (peer reviewed)
In: International Letters of Social and Humanistic Sciences (2015) 56 ; 103-106
Beschreibung:
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.