Bhattacharaya, Prasad; Singh, Harminder; Gannon, Gerard - Deakin University, Faculty of Business and Law, School … - 2006
Using different unconditional and conditional versions of the bivariate BEKK-GARCH model of Engle and Kroner, we calculate time-varying hedge ratios for Indian stock futures market involving a cross-section of seven firms across a spectrum of industries. These models are solved not only with the...