Optimal Hedge Ratio for Brent Oil Market; Baysian Approach
Optimal Hedge Ratio for Brent Oil Market; Baysian Approach
Author(s): Monire Hamldar, Mohsen MehraraSubject(s): Economy
Published by: SciPress Ltd.
Keywords: Optimal Hedging Ratio; OHR; VAR; VECM; BVAR; Edrington's efficiency index
Summary/Abstract: This paper examines the optimal hedging ratio (OHR) for the Brent Crude Oil Futures using daily data over the period 1990/17/8-2014/11/3. To gain OHR, it is employed a Vector Autoregressive (VAR) and Vector Error Correction (VEC) and Baysian Vector Autoregressive (BVAR) models. At last, the efficiency of these calculated OHR are compared through Edrington's index.
Journal: International Letters of Social and Humanistic Sciences
- Issue Year: 2014
- Issue No: 26
- Page Range: 82-87
- Page Count: 6
- Language: English