The Study of Optimal Hedge Ratios and Utility Based Approach to the Crude Oil Hedging Strategies Using Multivariate GARCH
Various GARCH models have been applied to the research of financial time series. For example, studies of Myers and Thompson (1989), Baillie and Myers (1991) and Lien et al. (2002), and Chang, McAleer, and Tansuchat (2011) apply GARCH models to improve the research of optimal hedge ratios. Although m...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/25771/ |