Olgun, Onur; Yetkiner, I. Hakan - In: Emerging Markets Finance and Trade 47 (2011) 6, pp. 68-79
This paper aims to determine optimal hedge strategy for the Istanbul Stock Exchange (ISE)-30 stock index futures in Turkey by comparing hedging performance of constant and time-varying hedge ratios under mean-variance utility criteria. We employ standard regression and bivariate GARCH frameworks...
