The optimal hedge ratio and hedging effectiveness of Malaysia crude palm oil futures: a comparative analysis of static and dynamic models
This study examines the hedging effectiveness of Malaysia crude palm oil futures (FCPO) with different time to maturity by employing the static hedging models of naïve, ordinary least square (OLS) and dynamic hedging models of Diagonal-Baba-Engle-Kraft-Kroner (Diag-BEKK GARCH), constant conditional...
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| Format: | Final Year Project / Dissertation / Thesis |
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2020
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| Online Access: | http://eprints.utar.edu.my/4005/ http://eprints.utar.edu.my/4005/1/fyp_FN_2020_BKT_%2D_1603667.pdf |