Comparing Hedging Effectiveness: An Application of the Encompassing Principle [PDF]
An empirical methodology is developed for statistically testing the hedging effectiveness among competing futures contracts. The presented methodology is based on the encompassing principle, widely used in the forecasting literature, and applied here to ...
Sanders, Dwight R., Manfredo, Mark R.
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THE FEASIBILITY OF A BOXED BEEF FUTURES CONTRACT: HEDGING WHOLESALE BEEF CUTS [PDF]
The purpose of this paper is to investigate the feasibility of a new futures contract for hedging wholesale transactions in the beef industry based on the USDA boxed beef cutout index (BBCO). The results suggest the live cattle futures contract is not an
Hahn, Tony +3 more
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Hedge Ratios for short and leveraged ETFs
Atlantic Review of Economics, 2011 Exchange Traded Funds (ETFs) exist for stock-, bond- and commodity markets. In most cases the underlying of an ETF is an index. Fund management today uses the active and passive way to construct a portfolio.
Leo Schubert
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The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators [PDF]
Hedging effectiveness is the proportion of price risk removed through hedging. Empirical hedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedging effectiveness statistic, apply the estimated hedge ratios to a second ...
Dahlgran, Roger A.
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An Empirical Analysis of Dynamic Multiscale Hedging using Wavelet Decomposition [PDF]
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio for various ...
Thomas Conlon, John Cotter
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HEDGING CARCASS BEEF TO REDUCE THE SHORT-TERM PRICE RISK OF MEAT PACKERS [PDF]
Hedging in the live cattle futures market has largely been viewed as a method of reducing producer's price over a rather lengthy production period (three to six months). Meat packers and processors also face price risk.
Bailey, DeeVon, Brorsen, B. Wade
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HEDGING FEEDER STEERS AND HEIFERS IN THE CASH-SETTLED FEEDER CATTLE FUTURES MARKET [PDF]
Recent changes in the feeder cattle futures contract specifications are expected to reduce hedging risk and may result in changes in optimal hedging levels.
Mintert, James R., Shroeder, Ted C.
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Hedging versus not hedging: strategies for managing foreign exchange transaction exposure [PDF]
This paper compares a number of strategies for managing foreign exchange exposures. The strategies are never hedging, hedging every exposure using a forward exchange contract, and hedging on selective occasions using a forward exchange contract.
Scott McCarthy
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ExELL (Explorations in English Language and Linguistics)In academic writing stance is often conveyed by means of extraposed that-clauses (It is possible that the results were misinterpreted.). The impersonal form of a matrix predicate allows writers to express attitudes without assuming responsibility for ...
Mirna Varga
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Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds [PDF]
This paper investigates the optimal short-term hedging of Exchange Traded Fund (ETF) portfolios with index futures. Using daily data from May 2000 to December 2004 on the four largest passive ETFs (the Spider, the Diamond, the Cubes and the Russell ...
Carol Alexander, Andreza Barbosa
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