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The role of long memory in hedging effectiveness
Computational Statistics & Data Analysis, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Coakley, J, Dollery, J, Kellard, NM
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On Feedback Effects from Hedging Derivatives
Mathematical Finance, 1998This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a microeconomic equilibrium approach, we develop a diffusion model for stock prices explicitly incorporating the technical demand induced by hedging strategies.
Platen, Eckhard, Schweizer, Martin
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Hedging effectiveness of stock index futures
European Journal of Operational Research, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jason Laws, John L. Thompson
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Improvement of Hedging Effect Based on the Average Hedging Ratio
2018This paper is aimed at exploring the improvement of hedging effect based on the theory of portfolio hedging, with multiple groups of CSI300 stock index futures and spot sample data as the analysis object. The minimum variance method is employed to estimate the optimal hedging ratio under the OLS and GARCH hedging models and calculate the average of the
Yang Liu, Chuan-he Shen
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Journal of Business Finance & Accounting, 1996
This paper examines hedging effectiveness for the FTSE‐100 Stock Index futures contract from 1984 to 1992. It investigates the appropriate econometric technique to use in estimating minimum variance hedge ratios by undertaking estimations using OLS, an ECM and GARCH. Simple OLS outperforms more complex econometric techniques.
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This paper examines hedging effectiveness for the FTSE‐100 Stock Index futures contract from 1984 to 1992. It investigates the appropriate econometric technique to use in estimating minimum variance hedge ratios by undertaking estimations using OLS, an ECM and GARCH. Simple OLS outperforms more complex econometric techniques.
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Measuring the hedging effectiveness of commodities
Finance Research Letters, 2019Abstract Our study examines the dynamic correlations, portfolio weights and hedging effectiveness of adding commodities to international equity portfolios. The data covers the 2014/2015 commodities price crash. We compare commodities as a hedge for developed, emerging and frontier equities.
Pornchai Chunhachinda +2 more
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The Effects of Hedges in Persuasive Arguments
Journal of Language and Social Psychology, 2008Drawing together research on persuasion and text comprehension, two experiments test the effects of hedge placement (Experiment 1) and hedge type (Experiment 2) on attitudes, source evaluations, and perceptions of argument strength. Participants read an editorial in support of implementing comprehensive exams at their university.
Amanda M. Durik +3 more
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Evaluating the Effectiveness of Futures Hedging
2014This chapter examines the Ederington hedging effectiveness (EHE) comparisons between unconditional OLS hedge strategy and other conditional hedge strategies. It is shown that OLS hedge strategy outperforms most of the optimal conditional hedge strategies when EHE is used as the hedging effectiveness criteria.
Donald Lien +3 more
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Hedging effectiveness comparisons: A note
International Review of Economics & Finance, 2008Abstract This note examines the hedging effectiveness of three hedge strategies on twenty-four commodity and financial markets. Lien (Lien, D., 2005a, The use and abuse of the hedging effectiveness measure, International Review of Financial Analysis 14, 277–282, Lien, D., 2005b, A note on the superiority of the OLS hedge ratio, Journal of Futures ...
Donald Lien, Keshab Shrestha
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The Effects of Hedge Fund Activism
2021In this paper I explore the relationship between the rise of hedge fund activism and firm outcomes, using a study design that explicitly takes into account how activists pick their targets. Contrary to much prior work, I find no evidence that activism is associated with increased firm operating performance or significant long-term returns once ...
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