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  • Search: subject:"constant and time-varying hedge ratios"
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VECM-GARCH-X 1 constant and time-varying hedge ratios 1 futures markets 1 hedging effectiveness 1 utility functions 1
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Kavussanos, Manolis 1 Visvikis, Ilias 1
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The European Journal of Finance 1
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Hedging effectiveness of the Athens stock index futures contracts
Kavussanos, Manolis; Visvikis, Ilias - In: The European Journal of Finance 14 (2008) 3, pp. 243-270
performances using weekly and daily data are examined, considering both constant and time-varying hedge ratios. Results indicate …
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