Time-varying hedging using the state-space model in the Malaysian equity market

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Time-varying hedging using the state-space model in the Malaysian equity market

Theoretical and practice of financial hedging have expanded over the last 25 years. Research in this area is numerous and one of them is identifying the time-varying optimal hedge ratio. In this study, the time-varying hedge ratio is analysed using the State Space model (Kalman Filter) on daily Kual...

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Bibliographic Details
Main Authors:	Izani Ibrahim, Sheela Devi D. Sundarasen
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2010
Online Access:	http://journalarticle.ukm.my/1773/ http://journalarticle.ukm.my/1773/1/327-606-1-SM.pdf

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