The optimal hedge ratio and hedging effectiveness of stock index futures An empirical study of TAIEX index futures contract
Throughout research literature on hedging with futures, a number of techniques to estimate the optimal hedge ratio that minimizes volatility of the hedged portfolio returns have been proposed. While these techniques hold theoretical appeal, there has not consistent evidence of which the most appropr...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/27341/ |