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A distributionally robust bilevel optimization model for wholesale-retail electricity market design. [PDF]

Sci Rep
Jia X, Ji P, Chen F, Deng H, Chen M, Zhuang X, Qi X, Tan Z.   +7 more
europepmc   +1 more source

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Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions

Applied Economics, 2014
This 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.
Wei-Han Liu
exaly   +2 more sources

Optimal hedge ratios for clean energy equities

Economic Modelling, 2018
Abstract Clean energy equities represent a relatively new class of assets to invest in, and these assets can be very volatile. An understanding of how investors in clean energy stocks can hedge their investment is essential for risk management. In this study, we use daily data covering the period March 03, 2008 to October 31, 2017, to examine how ...
Wasim Ahmad, Perry Sadorsky
exaly   +2 more sources

Cointegration and the optimal hedge ratio: the general case

Quarterly Review of Economics and Finance, 2004
Abstract This note evaluates the effects of omitted cointegration relationship between spot and futures prices on optimal hedge ratio and hedging effectiveness. It is found that the omission tends to produce a smaller hedge ratio. However, the loss of hedging effectiveness may be minimal.
Donald Lien
exaly   +2 more sources

OPTIMAL HEDGING RATIOS AND HEDGING RISK FOR GRAIN BY-PRODUCTS

2000
Optimal cross hedge ratios are estimated for a number of grain by-products used as livestock feed. Risk associated with these cross hedge ratios is measured to determine if cross hedging reduces grain by-product price risk. Results provide useful risk management guidelines for livestock and dairy producers.
Coffey, Brian K., Anderson, John D., Parcell, Joseph L., Coffey, Brian K., Anderson, John D., Parcell, Joseph L.   +5 more
openaire   +3 more sources

Quantile Estimation of Optimal Hedge Ratio

Journal of Futures Markets, 2015
AbstractIn this study, we analyze the dependence of hedging effectiveness on the realization of spot return by introducing the concept of a quantile hedge ratio. We estimate quantile hedge ratios for 20 different commodities at 15 quantiles. For daily data, we find that the quantile hedge ratio varies with the spot return distribution, displaying an ...
Donald Lien, Keshab Shrestha, Jing Wu
openaire   +1 more source

Optimal Hedging Ratio Model with Skewness

Systems Engineering - Theory & Practice, 2009
Abstract In this article, we develop an optimal hedging ratio model with skewness and derive the analytical solution of the optimal hedging ratio which can degenerate to mean-variance hedging ratio when co-skewnesses of spot and futures returns become zero.
Long-bin ZHANG, Chun-feng WANG, Zhen-ming FANG   +2 more
openaire   +1 more source

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
openaire   +1 more source

Hedging and Optimal Hedge Ratios for International Index Futures Markets

Review of Pacific Basin Financial Markets and Policies, 2009
This empirical study utilizes four static hedging models (OLS Minimum Variance Hedge Ratio, Mean-Variance Hedge Ratio, Sharpe Hedge Ratio, and MEG Hedge Ratio) and one dynamic hedging model (bivariate GARCH Minimum Variance Hedge Ratio) to find the optimal hedge ratios for Taiwan Stock Index Futures, S&P 500 Stock Index Futures, Nikkei 225 Stock ...
Cheng-Few Lee, Kehluh Wang, Yan Long Chen   +2 more
openaire   +2 more sources

Asymmetric Optimal Hedge Ratio with an Application

2012
The optimal hedge ratio (OHR) is an important tool for hedging against the price risk. A number of different approaches have been utilized in the literature in order to estimate the OHR, among others, constant parameter and time-varying approaches. One relevant question in this regard that has not been examined, to the best knowledge, is whether the ...
Youssef El-Khatib, Abdulnasser Hatemi-J
openaire   +1 more source