Cotter, John; Hanly, Jim - Geary Institute, University College Dublin - 2010
Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term … hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge … ratios with those calculated directly from lower frequency data and compare them in terms of hedging effectiveness. Our …