The optimal hedge ratio and hedging effectiveness of stock index futures
An empirical study of TAIEX index futures contract

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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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Bibliographic Details
Main Author:	Nguyen, Thi Mai Hanh
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Online Access:	https://eprints.nottingham.ac.uk/27341/

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