On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios

Hsu Ku, Yuan-Hung; Chen, Ho-Chyuan; Chen, Kuang‐Hua

doi:10.1080/13504850500447331

Public

On the application of the dynamic conditional correlation model in estimating optimal time-varying hedge ratios

Shared by NobleBlocks on Jun 1, 2007 • 12:00 AM UTC

Authors:

Yuan-Hung Hsu Ku

Ho-Chyuan Chen

Kuang‐Hua Chen

Abstract

This article applies the dynamic conditional correlation model of Engle (2002 Engle, RF. 2002. Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20: 339–50. [Taylor & Francis ...

Subject

Autoregressive conditional heteroskedasticity

Econometrics

Futures contract

Finding related papers...

Discussions

(0)

No comments yet

Be the first to share your thoughts!