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Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach

Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905

Persistent link: https://www.econbiz.de/10011459137

A new range-based regime-switching dynamic conditional correlation model for minimum-variance hedging

Su, Yi Kai; Wu, Chun-chou - In: Journal of mathematical finance 4 (2014) 3, pp. 207-219

Persistent link: https://www.econbiz.de/10010400103

Quantile hedge ratio for energy markets

Shrestha, Keshab; Ravichandran K. Subramaniam; Yessy … - In: Energy economics 71 (2018), pp. 253-272

Persistent link: https://www.econbiz.de/10011943021

Dynamic Correlations and Optimal Hedge Ratios

Bos, Charles S.; Gould, Phillip - 2007

the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging … correlations, the reduction in portfolio variance produced by different hedging strategies is examined. The data suggests that the …

Persistent link: https://www.econbiz.de/10010325498

VOLATILITY SPILLOVERS BETWEEN FOREIGN EXCHANGE, COMMODITY AND FREIGHT FUTURES PRICES: IMPLICATIONS FOR HEDGING STRATEGIES

Haigh, Michael S.; Holt, Matthew T. - 1999

In many studies the assumption is made that traders only encounter one type of price risk. In reality, however, traders are exposed to multiple price risks, and often have several relevant derivative instruments available with which to hedge price uncertainty. In this study, commodity, foreign...

Persistent link: https://www.econbiz.de/10009443450