Results 261 to 270 of about 4,261 (299)
Some of the next articles are maybe not open access.
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
openaire +2 more sources
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
openaire +2 more sources
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
openaire +1 more source
The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated
Journal of Futures Markets, 2011This study compares two alternative regression specifications for sizing hedge positions and measuring hedge effectiveness: a simple regression on price changes and an error correction model (ECM). We show that, when the prices of the hedged item and the hedging instrument are cointegrated, both specifications yield similar results which depend on the ...
Ted Juhl, Ira G. Kawaller, Paul D. Koch
openaire +1 more source
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
openaire +1 more source
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.
openaire +1 more source
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.
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
Hedging effectiveness of REIT futures
Journal of Property Investment & Finance, 2012PurposeThe hedging effectiveness of real estate investment trust (REIT) futures as a critical issue in response to the global REIT market has been extremely volatile in recent years, however few studies have been placed on this area. This study aims to fill in this gap and examine the hedging effectiveness of Australian and Japanese REIT futures over ...
Lee, Chyi Lin (R12396), Lee, Minglong
openaire +2 more sources
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
openaire +1 more source