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Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets

✍ Scribed by Taufiq Choudhry


Book ID
116577372
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
251 KB
Volume
18
Category
Article
ISSN
1057-5219

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πŸ“œ SIMILAR VOLUMES


Estimating time-varying optimal hedge ra
✍ Robert J. Myers πŸ“‚ Article πŸ“… 1991 πŸ› John Wiley and Sons 🌐 English βš– 835 KB

n optimal hedge ratio is usually defined as the proportion of a cash position A that should be covered with an opposite position on a futures market. Under certain simplifying assumptions discussed below, optimal hedge ratios can be characterized by a simple rule: set the hedge ratio equal to the ra