This study compares two alternative regression specifications for sizing hedge positions and measuring hedge effectiveness: a simple regression on price changes and an error correction model (ECM). We show that, when the prices of the hedged item and the hedging instrument are cointegrated, both spe
The effect of a hedge on the flow of air
β Scribed by N. E. Rider
- Book ID
- 104571283
- Publisher
- John Wiley and Sons
- Year
- 1952
- Tongue
- English
- Weight
- 311 KB
- Volume
- 78
- Category
- Article
- ISSN
- 0035-9009
No coin nor oath required. For personal study only.
β¦ Synopsis
Abstract
Experiments are described in which the horizontal wind speed at three heights up to 2 m is measured at various distances up and down wind from a dense hedge 1Β·68 m high on occasions with wind directions approximately normal to the hedge. The results show that the hedge begins to exert an influence on the wind speed at 2 m at a distance equivalent to approximately 15 hedge heights upwind, and that downwind its influence extends to a distance approximately equivalent to 60 hedge heights. At the two lower heights of windβspeed measurement the range over which the hedge has an effect is smaller. Diagrams are constructed to show the decrease in wind speed at the various heights within the distance range mentioned above.
π SIMILAR VOLUMES
In many empirical studies, both spot and futures prices were shown to contain a stochastic trend. Consequently, it is necessary to examine the possible cointegration relationship between the two prices as suggested by the efficient markets hypothesis. The importance of incorporating the cointegratio
T w o recent studies [Hill and Schneeweis (H&S) (forthcoming) and Dale (1981)l
## Abstract This article assumes that because of liquidity constraints, a hedge program will be terminated if the cumulative loss from a futures position exceeds a certain threshold. The constraint leads to a smaller futures position. If the hedger has a quadratic utility function, then the optimal