مرکز منطقه ای اطلاع رساني علوم و فناوري - Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach

Title of article :

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

Author/Authors :

GianCarlo Moschini، نويسنده , , Robert J. Myers، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2002

Pages :

From page :

589

To page :

603

Keywords :

hypothesis testing , Futures , Autoregressive conditional heteroskeclasticity , Hedging

Journal title :

Journal of Empirical Finance

Serial Year :

2002

Journal title :

Journal of Empirical Finance

Record number :

130729

Link To Document :