Hedging Effectiveness of Malaysian Crude Palm Oil Futures Contracts : The Extended Mean-Gini Framework

The stochastic dominance model has long been proven to exhibit greater theoretical advantage than the Minimum-Variance (MV) approach in futures hedging. This paper aims to demonstrate the superiority of Extended Mean-Gini (EMG) framework which is consistent with the secondorder of stochastic dominan...

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Bibliographic Details
Main Author: Tarn, Ju Yau
Format: Dissertation (University of Nottingham only)
Language:English
Published: 2013
Online Access:https://eprints.nottingham.ac.uk/26312/