Hatemi-J, Abdulnasser; El-Khatib, Youssef - In: Applied Economics Letters 19 (2012) 8, pp. 699-703
The minimum variance hedge ratio is widely used by investors to immunize against the price risk. This hedge ratio is usually assumed to be constant across time by practitioners, which might be a too restrictive assumption because the Optimal Hedge Ratio (OHR) might vary across time. In this...