Lee, Cheng-Few; Wang, Kehluh; Chen, Yan Long - In: Review of Pacific Basin Financial Markets and Policies … 12 (2009) 04, pp. 593-610
This empirical study utilizes four static hedging models (OLS Minimum Variance Hedge Ratio, Mean-Variance Hedge Ratio, Sharpe Hedge Ratio, and MEG Hedge Ratio) and one dynamic hedging model (bivariate GARCH Minimum Variance Hedge Ratio) to find the optimal hedge ratios for Taiwan Stock Index...
