Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a univariate or multivariate framework. To illustrate,...

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to...