Three Alternative Methods for Estimating Hedge Ratios
Author:
Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-91231-4_74
Reference47 articles.
1. Baillie, R.T., and R.J. Myers. 1991. Bivariate Garch estimation of the optimal commodity futures hedge. Journal of Applied Econometrics 6: 109–124.
2. Benet, B.A. 1992. Hedge period length and ex-ante futures hedging effectiveness: The case of foreign-exchange risk cross hedges. Journal of Futures Markets 12: 163–175.
3. Cecchetti, S.G., R.E. Cumby, and S. Figlewski. 1988. Estimation of the optimal futures hedge. Review of Economics and Statistics 70: 623–630.
4. Chen, S.S., C.F. Lee, and K. Shrestha. 2001. On a mean-generalized semivariance approach to determining the hedge ratio. Journal of Futures Markets 21: 581–598.
5. ———. 2003. Futures hedge ratios: A review. The Quarterly Review of Economics and Finance 43 (3): 433–465.
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