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Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets

✍ Scribed by Donald Lien; Li Yang

Book ID
116614966
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
183 KB
Volume
32
Category
Article
ISSN
0378-4266

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Beta-Moan-0.84118 STD -2 7 0 6 8 STD = 0.00570 0 9, Beta -Moan -0.94924 STD -0.06408 -Jj l ' I ' I ' I ' / ' l ' l ' I ' l ' l ' I ' l ' 1 ' I B Four-Week Ex Post Hedging Horizon 26 Week Estimation Period