Robustness results for regression hedge ratios: futures contracts with multiple deliverable grades

Article Abstract:

The methodology of estimating the hedge ratio of commodity futuresprices using both commodity price fluctuations and price fluctuations of futures contracts as variables is called the time-series regression. Some researchers have, however, suggested that this approach may be inefficient whenfutures contracts have different deliverable grades and options. The suitability of time-series regression was studied using the Chicago Board of Trade wheat futures contracts. It was concluded that regression is appropriate when spot-futures prices cannot be determined.

Usage, Futures, Robust statistics, Robustness (Statistics)

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Efficient use of information, convergence adjustments, and regression estimates of Hedge ratios

Article Abstract:

The ability of the traditional regression framework to deal with two problems, the information inefficiency and the lack of implicit incorporation of spot-futures convergence, is investigated. The traditional method does not adjust for convergence of the spot and futures prices at maturity. The basis- correction methodology is effective in eliminating the two mentioned problems. Hedge ratio obtained through the basis-correction methodology produces significantly smaller hedged portfolio return variances than that from the traditional method.

Futures market, Futures markets, Regression analysis

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Hedging performance of shrimp futures contracts with multiuple deliverable grades

Article Abstract:

The hedging performance of futures contracts on the Minneapolis Grain Exchange for shrimp futures is investigated. The effectiveness for these contracts seem to be modest.

United States, Shellfish, Shellfish Fishing, Shrimp, Statistical Data Included, Models, Fish industry, Fisheries, Shrimps, Shrimps (Animals)

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