Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets

Accounting and Finance

Volumn 45, Issue 2, 2005, Pages 301-321

  Yang, Wenling ^a   Allen, David E ^b  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^b EDITH COWAN UNIVERSITY   (Australia)

Author keywords

Cointegration; GARCH; Hedge ratio

Indexed keywords

EID: 27944503573     PISSN: 08105391     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-629x.2004.00119.x     Document Type: Article

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