Optimal Hedge Ratios at the Winnipeg Commodity Exchange
AbstractMultivariate GARCH models are employed to estimate time-varying hedge ratios for three commodities traded on the Winnip eg Commodity Exchange. GARCH hedge ratios are shown to be superior to those based on the traditional regression approach to calculating th e optimal hedge.
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Bibliographic InfoArticle provided by Canadian Economics Association in its journal Canadian Journal of Economics.
Volume (Year): 26 (1993)
Issue (Month): 1 (February)
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