Jian Dollery

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A joint fractionally integrated, error-correction and multivariate GARCH (FIEC-BEKK) approach is applied to investigate hedging effectiveness using daily data 1995–2005. The findings reveal the proxied error-correction term has a long memory component that theoretically should affect hedging effectiveness. When the FIEC model empirical conditions are(More)
This paper reexamines futures' returns for evidence of persistence behaviour by utilizing a new semi-parametric wavelet-based estimator, which is superior to the popular GPH estimator on the basis of mean squared error. Furthermore, to investigate the assertion of whether long-range dependence is time-varying, we propose the calculation of the wavelet OLS(More)
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