Kumar, Barik; Supriya, M. - In: Asia-Pacific Financial Markets 21 (2014) 2, pp. 121-131
, generalized auto-regressive conditional heteroscedasticity (1, 1), and constant correlation generalized auto …-regressive conditional heteroscedasticity (1, 1) hedging methods are estimated and compared. Result shows that constant correlation … generalized auto-regressive conditional heteroscedasticity (1, 1) is an efficient hedging method that maximizes investors’ utility …