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

Authors: Moschini G.; Myers R.J.¹

Source: Journal of Empirical Finance, Volume 9, Number 5, December 2002 , pp. 589-603(15)

Publisher: Elsevier

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Keywords: Autoregressive conditional heteroskeclasticity; Futures; Hedging; Hypothesis testing; [JEL classification codes] C52; [JEL classification codes] Q14

Language: English

Document Type: Research article

DOI: 10.1016/S0927-5398(02)00012-9

Affiliations: 1: Department of Agricultural Economics, Michigan State University, 48824 48824, East Lansing, MI, USA

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