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Time-Varying Optimal Hedge Ratio for Brent Oil Market
[journal article]
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... view more
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.... view less
Keywords
crude oil; raw materials; market; risk management; price
Classification
National Economy
Economic Sectors
Free Keywords
BEKK; Efficiency; Multivariate GARCH Models; OHR
Document language
English
Publication Year
2015
Page/Pages
p. 103-106
Journal
International Letters of Social and Humanistic Sciences (2015) 56
ISSN
2300-2697
Status
Published Version; peer reviewed