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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 Hedge Ratio Estimation and Effectiveness Using ARCD
Journal of Forecasting, 2007ABSTRACTThis paper examines the importance of forecasting higher moments for optimal hedge ratio estimation. To this end, autoregressive conditional density (ARCD) models are employed which allow for time variation in variance, skewness and kurtosis. The performance of ARCD models is evaluated against that of GARCH and of other conventional hedge ratio
Kostika, Eleftheria +1 more
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OPTIMAL HEDGING RATIOS AND HEDGING RISK FOR GRAIN BY-PRODUCTS
2000Optimal 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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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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Optimal currency forward market hedge ratios: Hedging or concealed speculation?
Global Finance Journal, 1991Finance literature in recent years has contained numerous papers dealing with the issue of optimal hedging ratios. The traditional approach to hedging with futures contracts had been to use a 1:l ratio of futures to spot positions. The more recent portfolio methodology determines the optimal hedge ratio by regressing the cash price, cash price change ...
Anthony F. Herbst, Peggy E. Swanson
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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, Perry Sadorsky, Amit Sharma
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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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High Frequency Data and Optimal Hedge Ratios
2000In this chapter, we look at the informational content of intraday data in order to optimise and reduce minimum variance hedge ratios. We define three hedge ratios, namely, two ratios calculated from daily data and a third one based on intraday data.
Christian L. Dunis, Pierre Lequeux
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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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Optimal currency hedge ratios and interest rate risk
Journal of International Money and Finance, 1992Abstract The objective of this article is to provide a framework for the interpretation of the optimal currency hedge ratios on foreign investments, taking into account interest rate risk. This is made possible by using a continuous-time setting in the spirit of Merton (1969).
Solnik, Bruno H., Briys, E.
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