๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Estimating the extended mean-gini coefficient for futures hedging

โœ Scribed by Donald Lien; Xiangdong Luo

Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
622 KB
Volume
13
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

โœฆ Synopsis

We are thankful to De-Min Wu and two anonymous referees for helpful comments and suggestions. A. G. Malliaris at Loyola University of Chicago kindly provided the data for this research. Of course, we are responsible for any remaining errors.

๐Ÿ“œ SIMILAR VOLUMES

An empirical evaluation of the extended
An empirical evaluation of the extended mean-gini coefficient for futures hedging
โœ Robert W. Kolb; John Okunev ๐Ÿ“‚ Article ๐Ÿ“… 1992 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 566 KB

See Shalit and Yitzhaki (1984), p. 1467. \*he return on the futures contract is defined as the percentage change in the futures price. Strictly speaking, however, futures contracts have no return because they require no investment. Identifying the percentage price change on the futures as the future

The hedging effectiveness of options and
The hedging effectiveness of options and futures: A mean-gini approach
โœ C. Sherman Cheung; Clarence C. Y. Kwan; Patrick C. Y. Yip ๐Ÿ“‚ Article ๐Ÿ“… 1990 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 789 KB

T eration of the types of instruments on various organized exchanges and by the increasing trading volume of each instrument since the first futures contracts on foreign currencies were introduced by the Chicago Mercantile Exchange in 1972 and the establishment of the Chicago Board Options Exchange

A note on estimating the minimum extende
A note on estimating the minimum extended Gini hedge ratio
โœ Lien, Donald; Shaffer, David R. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 371 KB ๐Ÿ‘ 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

Bivariate GARCH estimation of the optima
Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note
โœ Tae H. Park; Lorne N. Switzer ๐Ÿ“‚ Article ๐Ÿ“… 1995 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 385 KB ๐Ÿ‘ 2 views

2Cecchetti, Cumby, and Figlewski (1988) apply ARCH in estimating an optimal futures hedge with Treasury bonds. Baillie and Myers (199 1) and Myers (1991) examine commodity futures and report improvements in hedging performance over the constant hedge approach by following a dynamic strategy based o