Fractional Cointegration and Futures Hedging
This article examines the performance of various hedge ratios estimated from different econometric models: The FIEC model is introduced as a new model for estimating the hedge ratio. The analysis identifies the prevalence of a fractional cointegration relationship. The effects of incorporating such...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1999
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/258 |
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| Institution: | Singapore Management University |
| Language: | English |