Results 261 to 270 of about 45,686 (302)

Objectives of hedging and optimal hedge ratios: US vs Japanese investors

Journal of Multinational Financial Management, 1998
Abstract 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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Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions

Applied Economics, 2014
This 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.
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Optimal hedge ratio and hedging effectiveness of stock index futures: evidence from India

Macroeconomics and Finance in Emerging Market Economies, 2008
In a free capital mobile world with increased volatility, the need for an optimal hedge ratio and its effectiveness is warranted to design a better hedging strategy with future contracts. This study analyses four competing time series econometric models with daily data on NSE Stock Index Futures and S&P CNX Nifty Index. The effectiveness of the optimal
Saumitra N. Bhaduri, S. Raja Sethu Durai
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Estimating Optimal Hedge Ratio and Hedge Effectiveness Via Fitting the Multivariate Skewed Distributions

SSRN Electronic Journal, 2011
This paper presents the use of three multivariate skew distributions (Generalized Hyperbolic distribution, multivariate skew normal distribution, and multivariate skew t distribution) for estimating minimum variance hedge ratio in a dynamic setting. Three criteria for measuring hedge effectiveness are employed: Hedging Instrument Effectiveness, Overall
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Optimal Hedge Ratio and Hedge Efficiency: An Empirical Investigation of Hedging in Indian Derivatives Market

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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Estimating the optimal hedge ratio with focus information criterion

Journal of Futures Markets, 2005
In recent years, the error-correction model without lags has been used in estimating the minimum-variance hedge ratio. This article proposes the use of the same error-correction model, but with lags in spot and futures returns in estimating the hedge ratio.
Donald Lien, Keshab Shrestha
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Estimating Optimal Hedge Ratio and Hedging Effectiveness in the NSE Index Futures

Jindal Journal of Business Research, 2017
This 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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Optimal Hedge Ratios at the Winnipeg Commodity Exchange

The Canadian Journal of Economics, 1993
Multivariate 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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Optimal Hedge Ratio and the Performance of Hedging in China's Cotton Futures Market

2007 International Conference on Management Science and Engineering, 2007
This 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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Crude Oil Risk Management: the Optimal Hedge Ratio and Hedging Effectiveness Evolution [PDF]

ECONOMIA seria MANAGEMENT / ECONOMY - MANAGEMENT series, 2014
The main purpose of risk management is to reduce the cash-flows fluctuations of a company. In order to properly manage risks, the estimation of the optimal hedging ratio is needed. This paper analyzes the evolution of the optimal hedge ratio and hedging effectiveness for the Brent crude oil.
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