𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A Note on the Relationship between Exchange Exposure and Hedge Ratio

✍ Scribed by Donald Lien and Xiangdong Luo

Book ID
124947930
Publisher
Financial Management Association International (FMA)
Year
1993
Tongue
English
Weight
323 KB
Volume
22
Category
Article
ISSN
0046-3892

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

A note on the relationship between the v
A note on the relationship between the variability of the hedge ratio and hedging performance
✍ Donald Lien πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 67 KB πŸ‘ 2 views

## Abstract This note provides an analysis to examine the conjecture about the monotonic relationship between hedge ratio variability and hedging performance. Specific conditions are characterized to sustain the conjecture. Β© 2010 Wiley Periodicals, Inc. Jrl Fut Mark

A note on the superiority of the OLS hed
A note on the superiority of the OLS hedge ratio
✍ Donald Lien πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 80 KB πŸ‘ 2 views

Suppose that spot and futures prices are generated from an errorcorrection model. This note demonstrates that, although the OLS model is misspecified, it provides a hedge ratio that usually outperforms the hedge ratio derived from the correct error-correction model. The opposite result is possible o

A note on estimating the minimum extende
A note on estimating the minimum extended Gini hedge ratio
✍ Lien, Donald; Shaffer, David R. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 371 KB πŸ‘ 2 views

The extended Gini coefficient, C, is a measure of dispersion with strong theoretical merit for use in futures hedging. Yitzhaki (1982Yitzhaki ( , 1983) ) provides conditions under which a two-parameter framework using the mean and C of portfolio returns yields an efficient set consistent with second

An empirical analysis of the relationshi
An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short- and long-run hedge ratios
✍ Sheng-Syan Chen; Cheng-Few Lee; Keshab Shrestha πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 184 KB πŸ‘ 2 views

## Abstract This article analyzes the effects of the length of hedging horizon on the optimal hedge ratio and hedging effectiveness using 9 different hedging horizons and 25 different commodities. We discuss the concept of short‐ and long‐run hedge ratios and propose a technique to simultaneously e

An empirical analysis of the relationshi
An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis
✍ Donald Lien; Keshab Shrestha πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 175 KB πŸ‘ 2 views

## Abstract In this article, optimal hedge ratios are estimated for different hedging horizons for 23 different futures contracts using wavelet analysis. The wavelet analysis is chosen to avoid the sample reduction problem faced by the conventional methods when applied to non‐overlapping return ser