Sultan, Jahangir; Hasan, Mohammad - In: The European Journal of Finance 14 (2008) 6, pp. 469-488
This paper estimates time-varying optimal hedge ratios (OHRs) using a bivariate generalized autoregressive conditional heteroscedastic (GARCH) error correction model. The GARCH specification accounts for time-varying distribution in asset returns while the error correction term preserves...
