Coakley, Jerry; Dollery, Jian; Kellard, Neil - In: Computational Statistics & Data Analysis 52 (2008) 6, pp. 3075-3082
A joint fractionally integrated, error-correction and multivariate GARCH (FIEC-BEKK) approach is applied to investigate hedging effectiveness using daily data 1995-2005. The findings reveal the proxied error-correction term has a long memory component that theoretically should affect hedging...