An empirical analysis of the relationship between the hedge ratio and hedging horizon: a simultaneous estimation of the short- and long-run hedge ratios
Article Abstract:
The effects of the length of hedging horizon on the optimal hedge ratio and hedging effectiveness are examined using nine different hedging horizons and 25 different commodities. The results indicate that the increase in length of hedging horizon increases hedging effectiveness.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
User Contributions:
Comment about this article or add new information about this topic:
On a mean-generalized semivariance approach to determining the hedge ratio
Article Abstract:
Standard & Poor's hedge ratios and spot prices do not approach a normal distribution. Various hedge ratios are examined and found not to perform as expected. The mean-variance hedge ratio is found to be the most accurate.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
Article Abstract:
Using the wavelet analysis method, the effect of the length of hedging horizon on the optimal hedge ratios for different futures contracts is assessed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
User Contributions:
Comment about this article or add new information about this topic: