Results 261 to 270 of about 2,532 (291)

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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Striving for the Optimal Hedge Ratio

SSRN Electronic Journal, 2009
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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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Optimal Hedge Ratio Estimation

1987
Myers, Robert J., Thompson, Stanley R., Myers, Robert J., Thompson, Stanley R.   +3 more
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Generalized Optimal Hedge Ratio Estimation

1988
Myers, Robert J., Thompson, Stanley R., Myers, Robert J., Thompson, Stanley R.   +3 more
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A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio

Journal of Futures Markets, 2022
Hsiang-Tai Lee
exaly  

Optimal Hedge Ratio and Hedging Effectiveness in Turkish Stock IndexFutures Market

2016
In 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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Optimal currency hedge and the carry trade

Review of Accounting and Finance, 2020
Kersti Harkmann
exaly  

A Note on the Optimal Hedge Ratio : A Revisit

1986
Liu, Donald J., Roe, Terry L., Liu, Donald J., Roe, Terry L.   +3 more
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Estimating the Optimal Hedge Ratio and the Hedge Effectiveness of LNG Contracts in Asia

Korea International Trade Research Institute, 2022
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