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Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps : application to the airline industry

Bertus, Mark; Godbey, Jonathan; Hilliard, Jimmy E. - In: The journal of futures markets 29 (2009) 8, pp. 736-756

Persistent link: https://www.econbiz.de/10003897846

Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry

Bertus, Mark; Godbey, Jonathan; Hilliard, Jimmy E. - In: The journal of futures markets 29 (2009) 8, pp. 736-756

Persistent link: https://www.econbiz.de/10008265736

Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry

Bertus, Mark; Godbey, Jonathan; Hilliard, Jimmy E. - In: Journal of Futures Markets 29 (2009) 8, pp. 736-756

Exchange traded futures contracts often are not written on the specific asset that is a source of risk to a firm. The firm may attempt to manage this risk using futures contracts written on a related asset. This cross hedge exposes the firm to a new risk, the spread between the asset underlying...

Persistent link: https://www.econbiz.de/10011197143