Lien, Donald; Shrestha, Keshab - In: Applied Financial Economics 20 (2010) 8, pp. 627-636
In this article, we adopt Multivariate Skew-Normal (MSKN) distributions to test for the joint normality of spot and futures returns and to estimate optimal hedge ratios. Using daily data for 22 different commodities, we reject the joint normality hypothesis in favour of Skew-Normal (SKN)...