Time-Varying Optimal Hedge Ratio for Brent Oil Market

Hamldar, Monire; Mehrara, Mohsen

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%T Time-Varying Optimal Hedge Ratio for Brent Oil Market
%A Hamldar, Monire
%A Mehrara, Mohsen
%J International Letters of Social and Humanistic Sciences
%N 56
%P 103-106
%D 2015
%K BEKK; Efficiency; Multivariate GARCH Models; OHR
%@ 2300-2697
%X 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.
%C CHE
%G en
%9 Zeitschriftenartikel
%W GESIS - http://www.gesis.org
%~ SSOAR - http://www.ssoar.info