Optimal Hedge Ratios at the Winnipeg Commodity Exchange
Multivariate 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.
Volume (Year): 26 (1993)
Issue (Month): 1 (February)
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