An empirical analysis of the relationshi
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Donald Lien; Keshab Shrestha
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Article
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2006
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John Wiley and Sons
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English
β 175 KB
π 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 nonβoverlapping return ser