Time varying hedge ratios : an application to the Indian stock futures market Bhattacharya, Prasad S., Singh, Harminder and Gannon, Garard 2007, Time varying hedge ratios : an application to the Indian stock futures market, Review of futures markets, vol. 16, no. 1, pp. 75-104. Attached Files Name Description MIMEType Size Downloads Title Time varying hedge ratios : an application to the Indian stock futures market Author(s) Bhattacharya, Prasad S. orcid.org/0000-0003-2818-0835 Singh, Harminder orcid.org/0000-0003-2249-2387 Gannon, Garard Journal name Review of futures markets Volume number 16 Issue number 1 Start page 75 End page 104 Publisher Kent State University Place of publication Kent, Ohio Publication date 2007 ISSN 1933-7116 Keyword(s) bivariate BEKK-GARCH stock futures dynamic hedging India Summary This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives. Language eng Field of Research 140302 Econometric and Statistical Methods HERDC Research category C1 Refereed article in a scholarly journal Persistent URL http://hdl.handle.net/10536/DRO/DU:30007309 Document type: Journal Article Collections: Faculty of Business and Law School of Accounting, Economics and Finance   Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Wed, 17 Dec 2008, 13:26:47 EST Thu, 12 Jan 2012, 10:31:14 EST Thu, 12 Jan 2012, 10:33:40 EST Mon, 05 Mar 2012, 15:29:32 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 925 Abstract Views, 3 File Downloads  -  Detailed Statistics Created: Mon, 29 Sep 2008, 08:50:39 EST

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