Robustness results for regression hedge ratios: Futures contracts with multiple deliverable grades

✍ Scribed by P. V. Viswanath; Sris Chatterjee

• Book ID: 102845745
• Publisher: John Wiley and Sons
• Year: 1992
• Tongue: English
• Weight: 618 KB
• Volume: 12
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/fut.3990120302

✦ Synopsis

We also thank Avraham Kamara and Andrew Siegel for providing part of the data. 'Lien (1989a) extends Kamara and Siegel's findings to the case of optimal hedging in several wheat futures markets. The markets he considers are the CBT, which has multiple deliverable grades and the KCBT, which has only one deliverable grade. However, for the purposes of this discussion, it is sufficient to refer to Kamara and Siegel's analytic results only, because Lien's theoretical results are based on Kamara and Siegel's analysis.