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Time varying hedge ratios : an application to the Indian stock futures market
journal contribution
posted on 2007-01-01, 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.
History
Journal
Review of futures marketsVolume
16Issue
1Pagination
75 - 104Publisher
Kent State UniversityLocation
Kent, OhioISSN
1933-7116Language
engPublication classification
C1 Refereed article in a scholarly journalUsage metrics
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