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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. +5 more
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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.
Wei-Han Liu
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Cointegration and the optimal hedge ratio: the general case
Quarterly Review of Economics and Finance, 2004Abstract 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
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Optimal hedge ratios for clean energy equities
Economic Modelling, 2018Abstract 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 +2 more
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Optimal hedge ratio and elasticity of risk aversion [PDF]
Economics Bulletin, 2004 We apply the mean-standard deviation paradigm to examine a widely used model of the hedging literature. As the hedging model satisfies a scale and location condition the mean-standard deviation technique provides more intuition for the revision of the firm's optimum risk taking when price volatility changes.
Udo Broll, Jack E. Wahl
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Quantile Estimation of Optimal Hedge Ratio
Journal of Futures Markets, 2015AbstractIn 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
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Optimal Hedging Ratio Model with Skewness
Systems Engineering - Theory & Practice, 2009Abstract 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 +2 more
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On the optimal hedge ratio in index-based longevity risk hedging
European Actuarial Journal, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jackie Li +3 more
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Hedging and Optimal Hedge Ratios for International Index Futures Markets
Review of Pacific Basin Financial Markets and Policies, 2009This 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 +2 more
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Asymmetric Optimal Hedge Ratio with an Application
2012The 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
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