Leistikow, Dean; Tang, Yi; Zhang, Wei - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark hedge ratios across three broad asset classes. Three of the hedge ratios are based on the upward-biased carry cost rate hedge ratio, where each is...
