Evaluating the Effectiveness of Futures Hedging
نویسندگان
چکیده
منابع مشابه
UCD GEARY INSTITUTE DISCUSSION PAPER SERIES Hedging Effectiveness under Conditions of Asymmetry
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a number of hedging strategies in...
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