Results 271 to 280 of about 2,801,449 (309)

Hedge Ratios: Theory and Applications

2016
One of the best uses of derivative securities such as futures contracts is in hedging. In the past, both academicians and practitioners have shown great interest in the issue of hedging with futures. This is quite evident from the large number of articles written in this area.
Cheng-Few Lee, John Lee, Jow-Ran Chang, Tzu Tai   +3 more
openaire   +1 more source

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.
openaire   +2 more sources

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
openaire   +1 more source

The cost of hedging and the optimal hedge ratio

Journal of Futures Markets, 1994
Charles T. Howard, Louis J. D'Antonio
openaire   +1 more source

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.
openaire   +1 more source

Mortgage Hedge Ratios

The Journal of Fixed Income, 1997
Laurie S. Goodman, Jeffrey Ho
openaire   +1 more source

Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis

International Review of Financial Analysis, 2021
Khaled Guesmi, Christian Urom
exaly  

Quantile hedge ratio for energy markets

Energy Economics, 2018
Keshab Shrestha
exaly  

A primer on hedge funds

Journal of Empirical Finance, 1999
William Fung, David A Hsieh
exaly  

Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales

Physica A: Statistical Mechanics and Its Applications, 2014
Shou Chen, Gang-Jin Wang, Ling-Yun He
exaly