Time-Varying Optimal Hedge Ratio for Brent Oil Market
Abstract: 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
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
-
Online-Ressource
- Sprache
-
Englisch
- Anmerkungen
-
Veröffentlichungsversion
begutachtet (peer reviewed)
In: International Letters of Social and Humanistic Sciences (2015) 56 ; 103-106
- Klassifikation
-
Wirtschaft
- Ereignis
-
Veröffentlichung
- (wo)
-
Mannheim
- (wann)
-
2015
- Urheber
-
Hamldar, Monire
Mehrara, Mohsen
- DOI
-
10.18052/www.scipress.com/ILSHS.56.103
- URN
-
urn:nbn:de:101:1-2019072815222126911396
- Rechteinformation
-
Open Access; Open Access; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
25.03.2025, 13:47 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Hamldar, Monire
- Mehrara, Mohsen
Entstanden
- 2015
Ähnliche Objekte (12)
Time-Varying Optimal Hedge Ratio for Brent Oil Market
The Superiority of Time-Varying Hedge Ratios in Turkish Futures
Time-varying spot and futures oil price dynamics
Time-varying spot and futures oil price dynamics
Time-varying spot and futures oil price dynamics
Gold as an Inflation Hedge in a Time-Varying Coefficient Framework
Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework
Estimating Time-Varying Networks
Time-varying linear systems
Time-Varying Occupational Contents
Time-varying local projections
Time-varying parking prices
Time-Varying Optimal Hedge Ratio for Brent Oil Market
The Superiority of Time-Varying Hedge Ratios in Turkish Futures
Time-varying spot and futures oil price dynamics
Time-varying spot and futures oil price dynamics
Time-varying spot and futures oil price dynamics
Gold as an Inflation Hedge in a Time-Varying Coefficient Framework
Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework
Estimating Time-Varying Networks
Time-varying linear systems
Time-Varying Occupational Contents
Time-varying local projections
Time-varying parking prices
Time-Varying Optimal Hedge Ratio for Brent Oil Market
The Superiority of Time-Varying Hedge Ratios in Turkish Futures
Time-varying spot and futures oil price dynamics
Time-varying spot and futures oil price dynamics
Time-varying spot and futures oil price dynamics
Gold as an Inflation Hedge in a Time-Varying Coefficient Framework
Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework
Estimating Time-Varying Networks
Time-varying linear systems
Time-Varying Occupational Contents
Time-varying local projections