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Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets

โœ Scribed by Wenling Yang; David E. Allen

Book ID
110936449
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
160 KB
Volume
45
Category
Article
ISSN
0810-5391

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## Abstract Bollerslev's (1990, __Review of Economics and Statistics__, 52, 5โ€“59) constant conditional correlation and Engle's (2002, __Journal of Business & Economic Statistics__, 20, 339โ€“350) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity

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