An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short- and long-run hedge ratios-Reference-Cited by-同舟云学术

An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short- and long-run hedge ratios

Published:2004 Issue:4 Volume:24 Page:359-386
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Chen Sheng-Syan,Lee Cheng-Few,Shrestha Keshab

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference22 articles.

1. Bivariate garch estimation of the optimal commodity futures Hedge

2. Hedge period length and Ex-ante futures hedging effectiveness: The case of foreign-exchange risk cross hedges

3. Estimation of the Optimal Futures Hedge

4. On a Mean?Generalized Semivariance Approach to Determining the Hedge Ratio

5. Hedging with the Nikkei index futures: The convential model versus the error correction model

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