Evaluating the hedging effectiveness in Crude Palm Oil futures market : a bivariate threshold GARCH model
You-How Go; Wee-Yeap Lau
| Year of publication: |
2014
|
|---|---|
| Authors: | Go, You-How ; Lau, Wee-Yeap |
| Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 13.2014, 11, p. 1159-1170
|
| Subject: | Bivariate VAR-threshold GARCH model | hedging effectiveness | optimal hedge ratio | ARCH-Modell | ARCH model | Hedging | Rohstoffderivat | Commodity derivative | Palmöl | Palm oil | Futures | Schätzung | Estimation | Theorie | Theory |