Hedge Ratios in Hong Kong Hang Seng Index Futures
This paper examines hedging in Hong Kong stock index futures. It focuses on different econometric models to estimate constant and time-varying hedge ratios. For both nearby contract and four-month contract of Hang Seng index futures, the various econometric models are used to derive and estimate und...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2010
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| Online Access: | https://eprints.nottingham.ac.uk/23940/ |