Kim, Seokchin; Park, Cheolho; Yun, Youngjun - In: Eurasian Economic Review 4 (2014) 2, pp. 163-176
This paper examines the hedging performance with mini gold futures traded on the Korean Exchange (KRX). We use the daily prices of gold and mini gold futures from September 13, 2010 to May 31, 2013. We employ the OLS model and VECM as well as the bivariate GJR-GARCH (1,1) model. Our empirical...