Hung, Mao-wei; Lee, Cheng-few; So, Leh-chyan - Volkswirtschaftliche Fakultät, … - 2005
The objective of this paper is to estimate the hedge ratios of foreign-listed single stock futures (SSFs) and to … estimate constant optimal hedge ratios and the dynamic hedging ratios, respectively. Data of the SSFs listed on the London … estimated constant optimal hedge ratios and high constant correlation in the bivariate GJR- GARCH model, except for three SSFs …