Browsing Geary Institute Working Papers by Subject "Forecasting"

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Browsing Geary Institute Working Papers by Subject "Forecasting"

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  • Cotter, John ; Hanly, Jim (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-08)
    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 ...
  • Cotter, John ; Hanly, Jim (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-08)
    Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate ...

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