## 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 nonβoverlapping return ser
An Economic Analysis of Hedging and the Canadian Accounting Treatment of Revenue Hedges
β Scribed by Laurence Booth
- Book ID
- 114945022
- Publisher
- Wiley (John Wiley & Sons)
- Year
- 2009
- Tongue
- English
- Weight
- 1002 KB
- Volume
- 4
- Category
- Article
- ISSN
- 0825-0383
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T ber 1980 to provide Canadian market players with the ability to hedge their positions against interest rate fluctuations. Instruments for both ends of the term structure were introduced: a 9 1 -Day Government of Canada Treasury Bill Futures contract for the short end and, for the long end, a Long
## 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 shortβ and longβrun hedge ratios and propose a technique to simultaneously e