This paper investigates the hedging effectiveness of the S&P CNX Nifty index futures by employing four competing models, viz., the simple Ordinary Least Squares (OLS) method, the Bivariate Vector Autoregressive (BVAR) model, the Vector Error Correction Model (VECM), and the multivariate...

Bitcoins are evolving as a modern class of investment assets and it is crucial for investors to manage their investment risk. This paper examines the impact of macroeconomic-financial indicators on Bitcoin price using symmetric and asymmetric version of autoregressive distributed lag (ARDL)...

The present study examines the performance of various hedge ratios estimated under different econometric models (viz., OLS, VECM and time-varying MGARCH) and compared in terms of variance minimization criterion over the in-sample and out-of-sample periods for the 21 underlying stocks of National...