performances using weekly and daily data are examined, considering both constant and time-varying hedge ratios. Results indicate … corresponding optimal utility maximising hedge ratios yields similar results, in terms of model selection. For the FTSE/ATHEX Mid-40 … contracts we identify the existence of speculative components, which lead to utility-maximising hedge ratios, that are different …

price data for 1983-95. Out-of-sample means and variances of hedged feeding margins using estimated hedge ratios for four …

Ordinaries Index and its Share Price Index (SPI) futures are used to estimate dynamic minimum variance hedge ratios (MVHRs). Dark …

corresponding time-varying (optimal) hedge ratios is successfully estimated. A surprising result is that in the period which … hedge ratios obtained with the OLS regression technique do provide satisfactory results. …

. One-period feeding margin hedge ratios are estimated using weekly cash and futures price data from a simulation of a … custom feedlot for 1983-1995. Hedge ratios are estimated using the last 4 years, 6 years, or all prior data available at the … all hedge ratios being equal to each other, that leads to the proportional hedging model, is rejected. Means and variances …