Time-Varying Optimal Hedge Ratio for Brent Oil Market

Hamldar, Monire; Mehrara, Mohsen

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@article{ Hamldar2015,
 title = {Time-Varying Optimal Hedge Ratio for Brent Oil Market},
 author = {Hamldar, Monire and Mehrara, Mohsen},
 journal = {International Letters of Social and Humanistic Sciences},
 number = {56},
 pages = {103-106},
 year = {2015},
 issn = {2300-2697},
 doi = {https://doi.org/10.18052/www.scipress.com/ILSHS.56.103},
 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.},
 keywords = {Erdöl; crude oil; Rohstoff; raw materials; Markt; market; Risikomanagement; risk management; Preis; price}}