Olgun, Onur; Yetkiner, Ý. Hakan - Ekonomi Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2009
This paper aims to compare the effectiveness of constant hedge ratio estimates (obtained through OLS and VECM methods) and time-varying hedge ratio estimates (obtained via M-GARCH method) for future contracts of ISE-30 index of TurkDEX. We use portfolio variance reduction as the measure of...