A note on the superiority of the OLS Hedge Ratio
Article Abstract:
A note to demonstrate that OLS models will provide a hedge ratio, that generally outperforms the hedge ratio derived from the correct error-correction model even when it is wrongly mentioned is presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
Implied correlation index: a new measure of diversification
Article Abstract:
The derivation of the average implied correlation index from index option prices is examined. An empirical application using the Dow Jones Industial Average index options is analyzed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: The use of computer-mediated communication in an interorganizational context. An empirically derived model for the adoption of customer-based interorganisational systems
- Abstracts: Improving the performance of corporate boards: identifying and measuring the key drivers of success. Improving sustainability performance: specifying, implementing and measuring key principles
- Abstracts: Beyond quality: The Information Integrity imperative. Information integrity (I*I): The next quality frontier. Corporate history in a managerial perspective
- Abstracts: The value of using scheduling information in planning material requirements. The effect of lead time uncertainty on safety stocks
- Abstracts: A Faustian bargain? The growth of management and its relationship with related disciplines. Knowledge transfer through inheritance: spinout generation, development, and survival