The optimal hedge ratio and hedging effectiveness of Malaysia crude palm oil futures: a comparative analysis of static and dynamic models

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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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Bibliographic Details
Main Author:	Bea, Khean Thye
Format:	Final Year Project / Dissertation / Thesis
Published:	2020
Subjects:	HG Finance
Online Access:	http://eprints.utar.edu.my/4005/ http://eprints.utar.edu.my/4005/1/fyp_FN_2020_BKT_%2D_1603667.pdf

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