Peter S. Sephton
Abstract
Data on feed wheat and canola contracts traded on the Winnipeg Commodity Exchange is used to evaluate the benefits to constructing hedge ratios using multivari-ate GARCH models.
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Data on feed wheat and canola contracts traded on the Winnipeg Commodity Exchange is used to evaluate the benefits to constructing hedge ratios using multivari-ate GARCH models.
Key concepts: Canola, Hedge, Commodity, Economics, Autoregressive conditional heteroskedasticity, Financial economics, Agricultural economics, Econometrics