Testing for constant hedge ratios in commodity markets: A multivariate GARCH approach

Journal of Empirical Finance

Volumn 9, Issue 5, 2002, Pages 589-603

  Moschini, GianCarlo ^a   Myers, Robert J ^b  

^a IOWA STATE UNIVERSITY   (United States)

^b MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

Autoregressive conditional heteroskeclasticity; Futures; Hedging; Hypothesis testing

Indexed keywords

EID: 0036888080     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(02)00012-9     Document Type: Article

References (23)

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