Cointegration, Price-Adjustment Delays, and Optimal Hedge Ratio in the Precious Metal Markets
Firms seeking to apply hedge accounting treatment under the Accounting Standards Codification Topic 815 must demonstrate higher hedge effectiveness, for which the regression analysis is commonly used as a testing method. An autoregressive distributed lag (ARDL) model is adopted in this article to e...
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| Format: | Article |
| Language: | English |
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Tuwhera Open Access Publisher
2019-02-01
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| Series: | Applied Finance Letters |
| Online Access: | https://ojs.aut.ac.nz/applied-finance-letters/article/view/125 |