Wilkinson, Katherine J; Rose, Lawrence C; Young, Martin R - In: The Financial Review 34 (1999) 3, pp. 79-94
We apply cointegration methodology to the New Zealand and Australian 90-day, three-year and 10-year debt and futures markets. We compare traditional methods of calculating hedge ratios with those computed by using univariate and multivariate error correction models. We use out-of-sample...