Arbeitspapier
The Superiority of Time-Varying Hedge Ratios in Turkish Futures
This paper aims to compare the effectiveness of constant hedge ratio estimates (obtained through OLS and VECM methods) and time-varying hedge ratio estimates (obtained via M-GARCH method) for future contracts of ISE-30 index of TurkDEX. We use portfolio variance reduction as the measure of hedging effectiveness. We find that timevarying hedge ratios outperform the constant ratios for both in-sample and out-of-sample datasets and provide the minimum variance values.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Papers in Economics ; No. 09/07
- Classification
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Financial Forecasting and Simulation
- Subject
-
Futures Pricing
Hedging
MGARCH
Hedging Effectiveness
Futures
Hedging
ARCH-Modell
Schätzung
Türkei
- Event
-
Geistige Schöpfung
- (who)
-
Olgun, Onur
Yetkiner, I. Hakan
- Event
-
Veröffentlichung
- (who)
-
Izmir University of Economics, Department of Economics
- (where)
-
Izmir
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Olgun, Onur
- Yetkiner, I. Hakan
- Izmir University of Economics, Department of Economics
Time of origin
- 2009
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