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Time-varying hedge ratios: an application to the Indian stock futures market
conference contribution
posted on 2006-01-01, 00:00 authored by Prasad BhattacharyaPrasad Bhattacharya, Harminder SinghHarminder Singh, Gerard GannonThis paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.
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Econometric Society Australasian Meetings (2006: Alice Springs, NT)Publisher
[Econometric Society Australasian Meetings]Location
Alice Springs, NTPlace of publication
[Alice Springs, N.T.]Start date
2006-07-04End date
2006-07-07Language
engPublication classification
E1 Full written paper - refereedEditor/Contributor(s)
P BardsleyTitle of proceedings
Econometric Society Australasian Meetings PapersUsage metrics
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