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Optimal Hedge Ratios at the Winnipeg Commodity Exchange
The Canadian Journal of Economics, 1993Multivariate GARCH models are employed to estimate time-varying hedge ratios for three commodities traded on the Winnipeg Commodity Exchange. GARCH hedge ratios are shown to be superior to those based on the traditional regression approach to calculating the optimal hedge.
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SSRN Electronic Journal, 2011
This paper presents the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge effectiveness are employed: Hedging Instrument Effectiveness, Overall
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This paper presents the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge effectiveness are employed: Hedging Instrument Effectiveness, Overall
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Crude Oil Risk Management: the Optimal Hedge Ratio and Hedging Effectiveness Evolution [PDF]
ECONOMIA seria MANAGEMENT / ECONOMY - MANAGEMENT series, 2014 The main purpose of risk management is to reduce the cash-flows fluctuations of a company. In order to properly manage risks, the estimation of the optimal hedging ratio is needed. This paper analyzes the evolution of the optimal hedge ratio and hedging effectiveness for the Brent crude oil.
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Estimating the Optimal Hedge Ratio and the Hedge Effectiveness of LNG Contracts in Asia
Korea International Trade Research Institute, 2022openaire +1 more source
Optimal currency hedge and the carry trade
Review of Accounting and Finance, 2020Kersti Harkmann
exaly