Results 131 to 140 of about 1,552 (152)

A Note on the Optimal Hedge Ratio : A Revisit

1986
Liu, Donald J., Roe, Terry L., Liu, Donald J., Roe, Terry L.   +3 more
openaire   +3 more sources

Optimal Hedge Ratio and Hedging Effectiveness in Turkish Stock IndexFutures Market

2016
In this study, optimum hedge ratio and hedging effectiveness of Turkish index futures market are investigated and five different hedging horizons including daily hedging and one, two, three, and four weeks hedging are examined. In the study, six different models including ordinary least squares (OLS), error correction model (ECM), generalized ...
openaire   +1 more source

Hedging with Mgarch-Implied Unconditional Optimal Hedge Ratios

Loc Tan Bui, Niklas Johan Christoffer Ahlgren   +1 more
openaire   +1 more source

Stochastic optimal hedge ratio: theory and evidence

Applied Economics Letters, 2012
Abdulnasser Hatemi-J, Y El-Khatib
exaly  

On the optimal hedge under unbiased futures prices

Economics Letters, 1995
Sérgio H Lence
exaly  

Optimal hedge ratio and hedging effectiveness of stock index futures: evidence from India

Macroeconomics and Finance in Emerging Market Economies, 2008
Saumitra Bhaduri, Raja Sethu Durai S
exaly  

Estimating the optimal hedge ratio in the presence of potential unknown structural breaks

Applied Economics, 2014
Eduardo Roca, Abdulnasser Hatemi-J
exaly  

Modelling Optimal Hedge Ratio In The Presence Of Funding Risk

ECMS 2013 Proceedings edited by: Webjorn Rekdalsbakken, Robin T. Bye, Houxiang Zhang, 2013
openaire   +1 more source

Optimal conditional hedge ratio: A simple shrinkage estimation approach

Journal of Empirical Finance, 2016
Sung Y Park
exaly  

The optimal hedge ratio in unbiased futures markets

Journal of Futures Markets, 1984
Simon Benninga, Rafael Eldor, Itzhak Zilcha   +2 more
openaire   +1 more source