Results 11 to 20 of about 45,686 (302)
Optimal Hedge Ratio of Bahar Azadi Coin Futures: Application of Markov Regime Switching Models [PDF]
مدلسازی اقتصادسنجی, 2018 According to the importance of the hedging of gold coin market fluctuations, the purpose of this study is to estimate the minimize variance of optimal hedge ratios for Bahar Azadi coin futures contracts from period of 2013/12/17 to 2017/06/01 using ...
Mozhgan Maleki, Meysam Rafei
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OPTIMAL HEDGE RATIO OF SUKUK AND ISLAMIC EQUITY: A NOVEL APPROACH
Journal of Islamic Monetary Economics and Finance, 2023 This research applies a novel model to compute a hedge ratio. Specifically, the model modifies volatility forecasts of an exponentially weighted moving average method to account for the fat-tailed distribution of returns.
Bayu Adi Nugroho +1 more
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Generalized Optimal Hedge Ratio Estimation [PDF]
American Journal of Agricultural Economics, 1989 AbstractA generalized approach to estimating optimal hedge ratios on futures markets is developed. The generalized approach is not difficult to apply and provides a framework for evaluating the appropriateness of conventional simple regression approaches to optimal hedge ratio estimation.
Robert J. Myers, Stanley R. Thompson
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Stochastic optimal hedge ratio: theory and evidence [PDF]
Applied Economics Letters, 2011 The minimum variance hedge ratio is widely used by investors to immunize against the price risk. This hedge ratio is usually assumed to be constant across time by practitioners, which might be a too restrictive assumption because the Optimal Hedge Ratio (OHR) might vary across time.
Hatemi-J, Abdulnasser +1 more
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Estimation of Risk Hedge Ratio, Optimal Weight and Volatility Spillover Effects in the Stock Market of Iran, USA, Turkey, and UAE [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2019 Information about optimal risk hedge ratio, optimal weight of asset portfolios, the intensity and direction of impact of shock and volatility on financial markets is important for investment, policy, risk management and development of financial markets ...
Esmaiel Abounoori, Mansour Tour
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The Dynamic International Optimal Hedge Ratio [PDF]
SSRN Electronic Journal, 2011 Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio. The model estimation is specified in a multivariate GARCH setting with vector error correction terms and estimated for the
Liu, Xiaochun, Jacobsen, Brian
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The Effect of Asymmetries on Optimal Hedge Ratios [PDF]
The Journal of Business, 2002 There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return ...
Brooks, Chris +2 more
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Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
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The Semivariance-Minimizing Hedge Ratio
Journal of Agricultural and Resource Economics, 2003 This study presents a new approach to the optimal hedging decision. In some empirical studies, the standard hedge using the mean-variance hedge ratio provides results which are inconsistent with downside risk management.
Calum G. Turvey, Govindaray Nayak
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Sustainable and responsible investment dynamic cross-asset portfolio
Cogent Business & Management, 2023 Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold.
Robiyanto Robiyanto +3 more
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