Results 311 to 320 of about 41,412 (327)
North American Actuarial Journal, 2011 Abstract Basis risk is an important consideration when hedging longevity risk with instruments based on longevity indices, since the longevity experience of the hedged exposure may differ from that of the index. As a result, any decision to execute an index-based hedge requires a framework for (1) developing an informed understanding of the basis risk,
Coughlan, Guy +6 more
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Effectiveness of Minimum-Variance Hedging
The Journal of Portfolio Management, 2007Advanced electronic trading platforms and index exchange-traded funds (ETFs) have an impact on the minimum-variance hedging of stock indexes with futures. Minimum-variance hedging may provide better out-of-sample hedging performance than a naiuve futures hedge, but only in markets without active trading of ETFs or advanced electronic communications ...
Carol Alexander, Andreza Barbosa
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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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Estimation and Hedging Effectiveness of Time‐Varying Hedge Ratio: Nonparametric Approaches
Journal of Futures Markets, 2015AbstractMany studies have estimated the optimal time‐varying hedge ratio using futures, with most employing a bivariate generalized autoregressive conditional heteroscedasticity (BGARCH) model or a random coefficient model to estimate the time‐varying hedge ratio. However, it has been argued that when the variability of the estimated time‐varying hedge
Rui Fan, Haiqi Li, Sung Y. Park
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Hedging Effectiveness of Fertilizer Swaps
2017One potential tool fertilizer dealers and producers have to protect themselves against fertilizer price risk is the fertilizer swaps market. Swaps usually settle using a floating variable price that is determined by an index of cash prices. This paper calculates hedge ratios and hedging effectiveness of urea and DAP (diammonium phosphate) swaps that ...
Maples, William E. +3 more
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Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets
Accounting and Finance, 2005We use the All Ordinaries Index and the corresponding Share Price Index futures contract written against the All Ordinaries Index to estimate optimal hedge ratios, adopting several specifications: an ordinary least squares-based model, a vector autoregression, a vector error-correction model and a diagonal-vec multivariate generalized autoregressive ...
Wenling Yang, David E. Allen
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Hedging strategy for crude oil trading and the factors influencing hedging effectiveness
Energy Policy, 2010Abstract This study analyzes the hedging effectiveness of different hedge type and period by Korean oil traders. Both crude oil price and exchange rate risks are considered. Theoretical models are formulated to estimate the hedge ratios by separate and complex hedge types. The hedging period covers 1–12 months.
Won-Cheol Yun, Hyun Jae Kim
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Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions
Applied Economics, 2014This article proposes to use the three multivariate skew distributions (generalized hyperbolic distribution, multivariate skew normal distribution, and multivariate skew Student-t distribution) for estimating the minimum variance hedge ratio in a dynamic setting.
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Hedge effectiveness: Basis risk and minimum-variance hedging
Journal of Futures Markets, 1992openaire +1 more source
Non Linear Feedback Effects by Hedging Strategies
Stochastic Processes and Applications to Mathematical Finance, 2004MANCINO, MARIA ELVIRA, Ogawa S.
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