Results 221 to 230 of about 3,974 (265)

Hedge Ratio and Time Series Analysis

2019
In this chapter, we theoretically develop alternative hedge ratio models. We then use one of the hedge ratio models and S&P index futures data to show how alternative time-series models can be used to estimate hedge ratio. Time-series models include OLS regression, ARCH model, GARCH model, etc.
Cheng-Few Lee, Hong-Yi Chen, John Lee
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STOCK INDEX FUTURES HEDGING: HEDGE RATIO ESTIMATION, DURATION EFFECTS, EXPIRATION EFFECTS AND HEDGE RATIO STABILITY

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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Is Hedging a Habit? Hedging Ratio Determination of Cotton Producers

2010
We examine the role that habit plays when producers determine their hedge ratio. Data were collected from U.S. cotton growers in which they indicated their hedging position in 2001 and 2002 as well as their perceived profitability, land ownership structure, and income.
Dorfman, Jeffrey H., Pennings, Joost M.E., Garcia, Philip, Dorfman, Jeffrey H., Pennings, Joost M.E., Garcia, Philip   +5 more
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Measuring the Hedge Ratio

2003
Hedging is an attempt to reduce the risk of adverse price changes, such as the exchange rate implicit in a spot position on a currency. Financial hedging, as we have seen, entails taking an offsetting position on another asset or a hedging instrument (say, a forward position on the same or another currency, with the latter constituting cross hedging ...
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Improvement of Hedging Effect Based on the Average Hedging Ratio

2018
This 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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Cross and Delta-Hedges: Regression versus Price-Based Hedge Ratios

SSRN Electronic Journal, 1999
In implementing a variance-minimizing cross or delta hedge, the regression coefficient is often estimated using data from the past, but one could also use estimators that are suggested by the random-walk or unbiased-expectations models and require just a single price.
Piet Sercu, Xueping Wu
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On the optimal hedge ratio in index-based longevity risk hedging

European Actuarial Journal, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jackie Li, Chong It Tan, Sixian Tang, Jia Liu   +3 more
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Determination of the Recommended Hedging Ratio

American Journal of Agricultural Economics, 1983
The traditional literature on commodity futures markets defined a hedge as a futures market position which is equal but opposite to the individual's cash market position. More recent studies have recognized that the futures market position need not equal the cash market position to constitute a hedge.
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Estimating the Gini hedge ratio

Managerial Finance, 2003
This study compares minimum‐extended Gini hedge ratios estimated by the rank‐based method of Lerman and Yitzhaki and a nonparametric kernel method. The rankbased method is more prevalent in the Gini hedging literature, however, the kernel estimator provides a more powerful approach to estimation.
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Martingale Representations and Hedge Ratios

2010
The calculation of hedge ratios is fundamental to both the valuation of derivative securities and also the risk management procedures needed to replicate these instruments. In Monte Carlo simulation the following results on martingale representations and hedge ratios will be highly relevant.
Eckhard Platen, Nicola Bruti-Liberati
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