The Study of Optimal Hedge Ratios and Utility Based Approach to the Crude Oil Hedging Strategies Using Multivariate GARCH

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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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Bibliographic Details
Main Author:	Lee, Mei-Ying
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2012
Online Access:	https://eprints.nottingham.ac.uk/25771/

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