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 compare the performance of risk reduction of different methods. The OLS method and a bivariate GJR-GARCH model are employed to estimate constant optimal hedge ratios and the dynamic...