We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric … produced by GARCH-based models are excessive. Therefore we encourage hedgers to use a na ¨ive hedging strategy on the crack … majority of the existing literature, which favours the implementation of GARCH-based hedging strategies. …

In this article, we consider the pricing and hedging of single route dry bulk freight futures contracts traded on the … empirically compare the pricing and hedging accuracy of a variety of continuous-time futures pricing models. Our results show that … the inclusion of a second stochastic factor significantly improves the pricing and hedging accuracy. Overall, the results …

This paper presents an empirical study of hedging the four largest US index exchange traded funds (ETFs). When hedging … hedging is less effective around the time of dividend payments, and that hedged portfolio returns tend to have very large … index futures. In these situations minimum variance hedging is clearly preferable to naïve hedging, although it seems to …

has important implications for the hedging literature. However, standard price hedge ratios are not always the optimal … for scale-invariant models. Our theoretical results are supported by an empirical study that compares the hedging …

volatility framework allows one to extend a good pricing model into a good hedging model. The theoretical results are supported … a common feature of all Markovian single factor stochastic volatility models, (log)normal mixture option pricing models … Black-Scholes model in the presence of a market skew and this explains the poor delta hedging performance of these models …

This paper investigates the optimal short-term hedging of Exchange Traded Fund (ETF) portfolios with index futures … variance reduction and for investors with exponential utility. Our findings relate to daily hedging based on OLS regression …, either for individual ETFs or for portfolios of ETFs. Where minimum variance hedge ratios are useful is for the cross-hedging …

We examine the pricing of Asian and non-Asian credit default swaps that traded during the 1997 to 1999 time period. We …