The hedging effectiveness of constant and time-varying hedge ratios using three Pacific Basin stock futures

International Review of Economics and Finance

Volumn 13, Issue 4, 2004, Pages 371-385

  Choudhry, Taufiq ^a  

^a BRADFORD UNIVERSITY SCHOOL OF MANAGEMENT   (United Kingdom)

Author keywords

Bivariate GARCH; Cash index; Futures index; Hedge ratio; Variance

Indexed keywords

EID: 4344710164     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2003.04.002     Document Type: Article

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