Short-run deviations and optimal hedge ratio: Evidence from stock futures

Journal of Multinational Financial Management

Volumn 13, Issue 2, 2003, Pages 171-192

  Choudhry, Taufiq ^a  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Bivariate GARCH; Hedge ratio; Variance

Indexed keywords

EID: 0037375610     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-444X(02)00042-7     Document Type: Article

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