Poomimars, Ponladesh; Cadle, John; Theobald, Michael - In: Journal of Futures Markets 23 (2003) 3, pp. 241-260
Dynamic futures‐hedging ratios are estimated across seven markets using generalized models of the variance/covariance structure. The hedging performances of the resultant dynamic strategies are then compared with static and naïve strategies, both in‐ and out‐of‐sample....