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 …