Evaluating the hedging effectiveness in crude palm oil futures market during financial crises
This study examines whether there is a significant change in hedging effectiveness on Crude Palm Oil (CPO) futures market from January 1986 to December 2013. Eight hedging models with different mean and variance-covariance specifications have been evaluated. As the volatility of spot and futures mar...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2014
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/13028/1/Evaluating_the_Hedging_Effectiveness.pdf |