Estimating Hedge Ratios
نویسندگان
چکیده
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use.
منابع مشابه
Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract
This paper investigates the hedging effectiveness of the Standard & Poor’s (S&P) 500 stock index futures contract using weekly settlement prices for the period July 3, 1992 to June 30, 2002. Particularly, it focuses on three areas of interest: the determination of the appropriate model for estimating a hedge ratio that minimizes the variance of returns; the hedging effectiveness and the stabili...
متن کاملDynamic Hedging with Futures that are subject to Price Limits
The standard approaches to estimating minimum variance hedge ratios (MVHRs) are mis-specified when futures prices are subject to price limits. This paper proposes a bivariate tobit-FIGARCH model with maturity effects to estimate dynamic MVHRs using single and multiple period approaches. Simulations and an application to a commodity futures hedge support the proposed approach and highlight the i...
متن کاملRisk Management in Oil Market: A Comparison between Multivariate GARCH Models and Copula-based Models
H igh price volatility and the risk are the main features of commodity markets. One way to reduce this risk is to apply the hedging policy by future contracts. In this regard, in this paper, we will calculate the optimal hedging ratios for OPEC oil. In this study, besides the multivariate GARCH models, for the first time we use conditional copula models for modelling dependence struc...
متن کاملDynamic Correlations and Optimal Hedge Ratios
The focus of this article is to compare dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging or the CAPM approach, more ad...
متن کاملبرآورد نسبت‌های تأمین در بازارهای آتی و اختیار معامله محصولات کشاورزی در ایران و شناخت عوامل مؤثر بر آن : (مطالعه موردی پسته)
In this study, at first, different models for measuring hedge ratios in futures and options markets were introduced. Then, the models were applied to a sample of 300 Iranian pistachio producers. The results showed that hedge ratios in pistachio futures and options markets, on average, were in a range of 0.22 to 0.99. When pistachio yield is unpredictable, options market is preferred to futures ...
متن کاملبرآورد نسبت‌های تأمین در بازارهای آتی و اختیار معامله محصولات کشاورزی در ایران و شناخت عوامل مؤثر بر آن : (مطالعه موردی پسته)
In this study, at first, different models for measuring hedge ratios in futures and options markets were introduced. Then, the models were applied to a sample of 300 Iranian pistachio producers. The results showed that hedge ratios in pistachio futures and options markets, on average, were in a range of 0.22 to 0.99. When pistachio yield is unpredictable, options market is preferred to futures ...
متن کامل