Results 241 to 250 of about 45,620 (291)

On the optimal hedge ratio in index-based longevity risk hedging

European Actuarial Journal, 2019
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Jackie Li, Chong It Tan, Sixian Tang, Jia Liu   +3 more
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Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks

The European Journal of Finance, 2001
This paper utilizes the inter-temporal relationship between the FTSE-100 stock index and its futures price level between 1992 and 1999 to examine the characteristics of several minimum variance hedge ratios and the performances of several alternative hedging strategies for dynamic portfolio management in the presence of cointegrated time-varying risks.
Sim, A., Zurbrugg, R.
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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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Optimal Hedge Ratio Under a Subjective Re-Weighting of the Original Measure

SSRN Electronic Journal, 2012
In this paper we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is computed using a spectral risk measure, thus incorporating the degree of agent’s risk aversion. We empirically estimate the optimal hedge ratio using a long time series of UK and US equity indices, the EURUSD and EURGBP exchange rates,
Massimiliano Barbi, Silvia Romagnoli
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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 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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The Optimal Hedge Ratio — An Analytical Decision Model Considering Periodical Accounting Constraints [PDF]

Review of Pacific Basin Financial Markets and Policies, 2014
In practice, it is observable that firms tend to smooth periodical earnings because periodical earnings are considered by capital markets as a proxy for firms' success, and therefore, are often operationalized by the respective compensation plans for managers.
Robin Zorzi, Bettina Friedl
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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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Cointegration and the optimal hedge ratio: the general case

The Quarterly Review of Economics and Finance, 2004
Abstract This note evaluates the effects of omitted cointegration relationship between spot and futures prices on optimal hedge ratio and hedging effectiveness. It is found that the omission tends to produce a smaller hedge ratio. However, the loss of hedging effectiveness may be minimal.
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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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