Bivariate GARCH estimation of the optima
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Tae H. Park; Lorne N. Switzer
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Article
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1995
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John Wiley and Sons
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English
โ 385 KB
๐ 2 views
2Cecchetti, Cumby, and Figlewski (1988) apply ARCH in estimating an optimal futures hedge with Treasury bonds. Baillie and Myers (199 1) and Myers (1991) examine commodity futures and report improvements in hedging performance over the constant hedge approach by following a dynamic strategy based o