Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets
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- John Hua Fan & Eduardo Roca & Alexandr Akimov, 2010. "Hedging With Futures Contract: Estimation and Performance Evaluation of Optimal Hedge Ratios in the European Union Emissions Trading Scheme," Discussion Papers in Finance finance:201009, Griffith University, Department of Accounting, Finance and Economics.
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- Dar-Hsin Chen & Leo Bin & Chun-Yi Tseng, 2014. "Hedging Effectiveness of Applying Constant and Time-Varying Hedge Ratios: Evidence from Taiwan Stock Index Spot and Futures," Journal of Risk & Control, Risk Market Journals, vol. 1(1), pages 31-49.
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- Audrone Virbickaite & M. Concepci'on Aus'in & Pedro Galeano, 2013. "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers 1301.5129, arXiv.org, revised Jan 2014.
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- Rozaimah Zainudin & Roselee Shah Shaharudin, 2011. "Multi Mean Garch Approach to Evaluating Hedging Performance in the Crude Palm Oil Futures Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 7(1), pages 111-130.
- Wagner Oliveira Monteiro & Rodrigo De Losso da Silveira Bueno, 2011. "Dynamic Hedging inMarkov Regimes Switching," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 136, ANPEC - AssociaÃ§Ã£o Nacional dos Centros de PÃ³s-GraduaÃ§Ã£o em Economia [Brazilian Association of Graduate Programs in Economics].
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- Guo, Zhibo & White, Ben & Mugera, Amin, 2013. "Hedge Effectiveness for Western Australia Crops," 2013 Conference (57th), February 5-8, 2013, Sydney, Australia 152154, Australian Agricultural and Resource Economics Society.
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- Cuong Nguyen & M. Bhatti & Aziz Hayat, 2014. "Volatility linkages in the spot and futures market in Australia: a copula approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(5), pages 2589-2603, September.
- Lumengo Bonga-Bonga & Ekerete Umoetok, 2016.
"The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010: Evidence from South Africa,"
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- Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016. "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 239-256.
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