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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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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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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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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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Estimating the Optimal Hedge Ratio and the Hedge Effectiveness of LNG Contracts in Asia
Korea International Trade Research Institute, 2022openaire +1 more source
Optimal Hedge Ratio and Hedging Effectiveness in Turkish Stock IndexFutures Market
2016In this study, optimum hedge ratio and hedging effectiveness of Turkish index futures market are investigated and five different hedging horizons including daily hedging and one, two, three, and four weeks hedging are examined. In the study, six different models including ordinary least squares (OLS), error correction model (ECM), generalized ...
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