Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/175908
Authors: 
Olgun, Onur
Yetkiner, I. Hakan
Year of Publication: 
2009
Series/Report no.: 
Working Papers in Economics 09/07
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 timevarying hedge ratios outperform the constant ratios for both in-sample and out-of-sample datasets and provide the minimum variance values.
Subjects: 
Futures Pricing
Hedging
MGARCH
Hedging Effectiveness
JEL: 
G13
G17
Document Type: 
Working Paper

Files in This Item:
File
Size
527.08 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.