OPTIMAL HEDGE RATIO OF SUKUK AND ISLAMIC EQUITY: A NOVEL APPROACH
This research applies a novel model to compute a hedge ratio. Specifically, the model modifies volatility forecasts of an exponentially weighted moving average method to account for the fat-tailed distribution of returns. This simpler model aims to overcome the widely-known drawback of the complex G...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Bank Indonesia
2023-12-01
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| Series: | Journal of Islamic Monetary Economics and Finance |
| Subjects: | |
| Online Access: | https://jimf-bi.org/index.php/JIMF/article/view/1909 |