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Optimal hedge ratio

Asymmetric Optimal Hedge Ratio with an Application... [Pg.231]

The interested reader can refer to the following literature on the optimal hedge ratio [3,6-8, 10, 11, 15, 17]. [Pg.231]

The rest of the paper is stmctured as follows. Section 2 makes a brief discussion of the optimal hedge ratio including a mathematical derivation of this ratio. Section 3 describes the underlying methodology for estimating the asymmetric OHR, and it also proves mathematically the asymmetric property of the OHR. Section 4 provides an empirical application, and the last section concludes the paper. [Pg.232]

Methodology for Estimating Asymmetric Optimal Hedge Ratio... [Pg.233]

The estimation results for the optimal hedge ratios are presented in Table 19.1. Each value is statistically significant at any conventional significance level. It should be pointed out that the difference between the optimal hedge ratios is not huge in this particular case because the mean values of positive shocks and negative shocks are very close as is indicated in the Table 19.2. [Pg.236]

El-Khatib Y, Hatemi-J A (2011) An approach to deal with asymmetry in the optimal hedge ratio, hr Lecture notes in engineering and computer science Proceedings of the world congress on engineering 2011, WCE 2011, London, 6-8 July 2011, pp 377-380... [Pg.238]

Hatemi-J A, Roca E (2006) Calculating the optimal hedge ratio Constant, time varying and the Kahnan filter approach. Appl Econom Lett 13(5) 293-299... [Pg.238]

Hatemi-J A, El-Khatib Y (2012) Stochastic optimal hedge ratio Theory and evidtaice. Appl Econom Lett 19(8) 699-703... [Pg.238]

Park TH, Switzer LN (1995) Time-varying distributions and the optimal hedge ratios for stock index futures. Appl Financ Ectmom 5(3) 131-137... [Pg.238]

Sim A-B, Zurbmegg R (2001) Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks. Eur J Finance 7(3) 269-283... [Pg.238]


See other pages where Optimal hedge ratio is mentioned: [Pg.231]    [Pg.232]    [Pg.236]    [Pg.231]    [Pg.232]    [Pg.236]   
See also in sourсe #XX -- [ Pg.231 , Pg.232 , Pg.233 , Pg.234 , Pg.235 ]




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