Time-Varying Optimal Hedge Ratio for Brent Oil Market
نویسندگان
چکیده
منابع مشابه
Optimal Hedge Ratio and Hedge Efficiency: An Empirical Investigation of Hedging in Indian Derivatives Market
Copyright 2008 by the Society of Actuaries. All rights reserved by the Society of Actuaries. Permission is granted to make brief excerpts for a published review. Permission is also granted to make limited numbers of copies of items in this monograph for personal, internal, classroom or other instructional use, on condition that the foregoing copyright notice is used so as to give reasonable not...
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Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio. The model estimation is specified in a multivariate GARCH setting with vector error correction terms and estimated for the commodity and stock markets of the U.S., t...
متن کاملنسبت بهینه پوشش ریسک (optimal hedge ratio) در قراردادهای آتی سکه بهار آزادی بورس کالای ایران
یکی از موضوعات اصلی در پوشش ریسک نوسانات قیمت با استفاده از قراردادهای آتی، تعیین میزان نسبت بهینه پوشش ریسک می باشد. در ادبیات موضوع، روش های متعددی برای استخراج و محاسبه این نسبت ارایه شده است که هر یک از آنها دارای برخی مزایا و معایب نظری یا تجربی نسبت به یکدیگر می باشند. در این رساله انواع نسبت های بهینه پوشش ریسک برای قراردادهای آتی سکه بهار آزادی مورد معامله در بورس کالای ایران با استفاده...
Can hedge funds time market liquidity?
We explore a new dimension of fund managers' timing ability by examining whether they can time market liquidity through adjusting their portfolios'market exposure as aggregate liquidity conditions change. Using a large sample of hedge funds, we find strong evidence of liquidity timing. A bootstrap analysis suggests that top-ranked liquidity timers cannot be attributed to pure luck. In out-of-sa...
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ژورنال
عنوان ژورنال: International Letters of Social and Humanistic Sciences
سال: 2015
ISSN: 2300-2697
DOI: 10.18052/www.scipress.com/ilshs.56.103