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- W1498102421 abstract "This paper aims to compare the effectiveness of constant hedge ratio estimates (obtained through OLS and VECM methods) and time-varying hedge ratio estimates (obtained via M-GARCH method) for future contracts of ISE-30 index of TurkDEX. We use portfolio variance reduction as the measure of hedging effectiveness. We find that time-varying hedge ratios outperform the constant ratios for both in-sample and out-of-sample datasets and provide the minimum variance values." @default.
- W1498102421 created "2016-06-24" @default.
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- W1498102421 date "2009-11-01" @default.
- W1498102421 modified "2023-09-27" @default.
- W1498102421 title "The Superiority of Time-Varying Hedge Ratios in Turkish Futures" @default.
- W1498102421 hasPublicationYear "2009" @default.
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