Leistikow, Dean; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/78, pp. 1-17
This paper tests whether the traditional futures hedge ratio (hT) and the carry cost rate futures hedge ratio (hc) vary … high and low spot asset carry cost rate (c) regimes. The high and low c regimes are specified by asset across time and …