Optimal Hedge Ratio
The Dynamic International Optimal Hedge Ratio
... dynamic optimal hedge ratios between ...dynamic optimal hedge ratios of the daily horizons apparently emerge the mean-reverting ...and hedge horizons provide a hint of how investors can ...
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Stochastic optimal hedge ratio: Theory and evidence
... variance hedge ratio is widely used by investors to immunize against the price ...This hedge ratio is usually assumed to be constant across time by practitioners, which might be too ...
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Futures hedging of commodity risk : designing hedging strategies with a focus on the study of the optimal hedge ratio
... the hedge portfolio to the maximum extent on the one hand, and optimizing both variance and average return on the other hand, giving rise to the minimum variance –, and mean-variance objective function, ...the ...
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The Optimal Hedge Ratio in Option Pricing: The Case of Exponentially Truncated Lévy Stable Distribution
... where x = log ( S S 0 ) , C > 0 , γ ≥ 0 and 0 < < α 2 which is the condition to have a stable Levy distribution (See Bucsa et al. [29]). C can be seen as a measure of the level of activity in case all other ...
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Dependence Structure and Hedging of U.S. Spot and Futures Markets in Financial Crisis
... and optimal hedge ratio of ...The optimal hedge ratio can differ significantly depending on the dependence structure of spot and futures ...time-varying hedge ratio ...
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Short run derivations and time varying hedge ratios: evidence from agricultural futures markets
... the optimal hedge ratio should be time- varying and not ...varying hedge ratios for different futures ...time-varying hedge ratios and a constant minimum variance hedge ...
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Banking Firm, Risk of Investment and Derivatives
... The analysis in this paper is based on the concept of (µ, σ)-preferences. The (µ, σ)-criterion on decision-making under uncertainty has experienced growing attention in very recent contributions, see for example, [8-13]. ...
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HEDGING EFFECTIVENESS OF CONSTANT AND TIME VARYING HEDGE RATIO IN INDIAN COMMODITY FUTURES MARKET: A STUDY OF CORIANDER TRADED IN THE NATIONAL COMMODITY AND DERIVATIVES EXCHANGE
... returns are only affected by their own past values and squared recent innovations. The conditional covariance between spot and futures returns follows the same structures. Since the model is diagonal restricted, authors ...
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Samuelson Effect and Hedging Effectiveness in the CSI 300 Index Futures
... the optimal hedge ratio and hedge effectiveness ...the hedge effectiveness and the op- timal hedge ...the hedge effectiveness is significantly better with the ...
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Estimation OfHedging Effectiveness Of SGARCH Model
... the optimal hedge ratio are calculated within 95% confidence interval and parameters like mean, variance, semi variance, hedge ratio, hedging effectiveness, interquartile range are ...
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Comparison of the Impact of Econometric Models on Hedging Performance by Crude Oil and Natural Gas
... The paper examines the performance of hedging spot prices in crude oil and natural gas. The subject of the research are spot prices of West Texas Intermediate and Henry Hub. The risk protection is provided by the ...
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Commodity Price Correlation And Time Varying Hedge Ratios
... the optimal hedge ratio to hedge spot prices of six commodity prices with futures contracts; they conclude that the dynamic hedge ratios outperform the static ...on optimal ...
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Econometric modeling for optimal hedging in commodity futures: An empirical study of soybean trading
... The optimal hedge ratio (OHR) is basically based on the coefficient of the regression between the change in the spot prices and the change in price of the hedging ...constant hedge ...
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Longevity hedge effectiveness: A decomposition
... to hedge the longevity risk in its pen- sion liabilities at a future ...customised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation ...
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Playing against Hedge
... the Hedge algorithm by using an adversary, who will consistently select penalties so as to maximize the player’s loss, as- suming that the adversary’s penalty budget is ...
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Learning to Detect Hedges and their Scope Using CRF
... In the natural language processing domain, hedges are very important, too. Along with the rapid development of computational and biological technology, information extraction from huge amount of biomedical resource ...
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Evaluating Investments Using Higher Moments
... The arguments for inclusion of higher moments are investors’ preference for alternatives with high positive skewness and low kurtosis, and the fact that returns are not normally distributed, which necessitates inclusion ...
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Longevity hedge effectiveness: a decomposition
... to hedge the longevity risk in its pension liabilities at a future ...tomised hedge or an index hedge, with the degree of hedge effectiveness being closely related to the correlation between ...
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The Bias Ratio As A Hedge Fund Fraud Indicator: An Empirical Performance Study Under Different Economic Conditions
... Sharpe ratio is widely used as a performance evaluation measure for traditional ...as hedge funds. Based on mean- variance theory, the Sharpe ratio only considers the first two moments of return ...
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Fiber Reactive Dyes with Improved Affinity and Fixation Efficiency
... It should be noted that the substantivity value is not independent of the diffusion coefficient of the dye in the substrate. The magnitude of the substantivity value is mostly determined by the chemical nature of the ...
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