Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach

GianCarlo Moschini and Robert Myers ()

Journal of Empirical Finance, 2002, vol. 9, issue 5, 589-603

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (53)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927-5398(02)00012-9
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate Garch Approach (2002)
Working Paper: Testing for constant hedge ratios in commodity markets: a multivariate GARCH approach (2002)
Working Paper: Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:9:y:2002:i:5:p:589-603

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().