Time-varying hedging using the state-space model in the Malaysian equity market
Theoretical and practice of financial hedging have expanded over the last 25 years. Research in this area is numerous and one of them is identifying the time-varying optimal hedge ratio. In this study, the time-varying hedge ratio is analysed using the State Space model (Kalman Filter) on daily Kual...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2010
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| Online Access: | http://journalarticle.ukm.my/1773/ http://journalarticle.ukm.my/1773/ http://journalarticle.ukm.my/1773/1/327-606-1-SM.pdf |