Time-Varying Optimal Hedge Ratio for Brent Oil Market

Hamldar, Monire; Mehrara, Mohsen

[journal article]

dc.contributor.author	Hamldar, Monire	de
dc.contributor.author	Mehrara, Mohsen	de
dc.date.accessioned	2018-04-23T13:14:06Z
dc.date.available	2018-04-23T13:14:06Z
dc.date.issued	2015	de
dc.identifier.issn	2300-2697	de
dc.identifier.uri	http://www.scipress.com/ILSHS.56.103.pdf
dc.identifier.uri	https://www.ssoar.info/ssoar/handle/document/56923
dc.description.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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	BEKK; Efficiency; Multivariate GARCH Models; OHR	de
dc.title	Time-Varying Optimal Hedge Ratio for Brent Oil Market	de
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	International Letters of Social and Humanistic Sciences
dc.publisher.country	CHE
dc.source.issue	56	de
dc.subject.classoz	Volkswirtschaftstheorie	de
dc.subject.classoz	National Economy	en
dc.subject.classoz	Wirtschaftssektoren	de
dc.subject.classoz	Economic Sectors	en
dc.subject.thesoz	Erdöl	de
dc.subject.thesoz	crude oil	en
dc.subject.thesoz	Rohstoff	de
dc.subject.thesoz	raw materials	en
dc.subject.thesoz	Markt	de
dc.subject.thesoz	market	en
dc.subject.thesoz	Risikomanagement	de
dc.subject.thesoz	risk management	en
dc.subject.thesoz	Preis	de
dc.subject.thesoz	price	en
dc.rights.licence	Creative Commons - Namensnennung 4.0	de
dc.rights.licence	Creative Commons - Attribution 4.0	en
internal.status	formal und inhaltlich fertig erschlossen	de
internal.identifier.thesoz	10042079
internal.identifier.thesoz	10056692
internal.identifier.thesoz	10034440
internal.identifier.thesoz	10081122
internal.identifier.thesoz	10034835
dc.type.stock	article	de
dc.type.document	Zeitschriftenartikel	de
dc.type.document	journal article	en
dc.source.pageinfo	103-106	de
internal.identifier.classoz	1090301
internal.identifier.classoz	1090304
internal.identifier.journal	1120
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.18052/www.scipress.com/ILSHS.56.103	de
dc.description.pubstatus	Veröffentlichungsversion	de
dc.description.pubstatus	Published Version	en
internal.identifier.licence	16
internal.identifier.pubstatus	1
internal.identifier.review	1
internal.dda.reference	xml-database-41@@12
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Volkswirtschaftstheorie
Economic Theory
Wirtschaftssektoren
Economic Sectors

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