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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 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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SSRN Electronic Journal, 2008
We have estimated optimal hedge ratio based on HKM [Herbst, Kare and Marshall (1993)] methodology with benchmark model JSE [Johnson (1960), Stein (1961) and Ederington (1979)] methodology for futures. In case of estimating optimal hedge ratio for options, we have used fBM [Fractional Brownian Motion] methodology with benchmark model BSM [Black-Scholes ...
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We have estimated optimal hedge ratio based on HKM [Herbst, Kare and Marshall (1993)] methodology with benchmark model JSE [Johnson (1960), Stein (1961) and Ederington (1979)] methodology for futures. In case of estimating optimal hedge ratio for options, we have used fBM [Fractional Brownian Motion] methodology with benchmark model BSM [Black-Scholes ...
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Optimal Hedge Ratio and the Performance of Hedging in China's Cotton Futures Market
2007 International Conference on Management Science and Engineering, 2007This paper does empirical study on the performance of hedging in China's cotton futures market. The ordinary least squares model (OLS), the bi-variate vector autoregressive model (BVAR) and the error correction mechanism model (ECM) are used to find the optimal hedging ratio.
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Estimating Optimal Hedge Ratio and Hedging Effectiveness in the NSE Index Futures
Jindal Journal of Business Research, 2017This study attempts to study and suggest an optimal hedge ratio to Indian investors and traders by examining the three main indices of National Stock Exchange of India (NSE), namely, NIFTY, Bank NIFTY, and IT NIFTY, over the sample period from January 2011 to December 2015.
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Objectives of hedging and optimal hedge ratios: US vs Japanese investors
Journal of Multinational Financial Management, 1998Abstract Assuming interdependence vs independence of the equity and currency markets, the hedging performances of the minimum-total return variance hedge (MTRVH) vs the minimum-return differential variance hedge (MRDVH) strategies are compared. Substantial interdependence between the two markets is observed.
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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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The cost of hedging and the optimal hedge ratio
Journal of Futures Markets, 1994Charles T. Howard, Louis J. D'Antonio
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Optimal hedge ratios in the presence of common jumps
Journal of Futures Markets, 2009AbstractThis study derives optimal hedge ratios with infrequent extreme news events modeled as common jumps in foreign currency spot and futures rates. A dynamic hedging strategy based on a bivariate GARCH model augmented with a common jump component is proposed to manage currency risk.
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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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