File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: A semiparametric estimation of the optimal hedge ratio

TitleA semiparametric estimation of the optimal hedge ratio
Authors
KeywordsCommodities
Futures
Hedging
Nonparametric
Seasonal
Issue Date2007
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/qref
Citation
Quarterly Review Of Economics And Finance, 2007, v. 47 n. 2, p. 366-381 How to Cite?
AbstractStandard static hedging models employing futures contracts yield poor results for most commodities, especially when compared with the evidence for financial instruments such as stock indexes and currencies. Moreover, the efforts in the dynamic hedging of commodity prices via GARCH models have found limited success. In this paper, we propose an alternate approach for constructing the 'optimal' hedge ratio. The approach differs from previous methods in two respects. First, we incorporate controls for seasonals, time to maturity, inventories, and futures term-structure in the construction of hedge ratio. Second, we adopt a partially linear functional form for the hedge ratio. Employing data from the U.S. markets for corn, cotton, and soybeans, we find that our method substantially outperforms the static, semi-dynamic, and GARCH models. © 2007 Board of Trustees of the University of Illinois.
Persistent Identifierhttp://hdl.handle.net/10722/177743
ISSN
1997 Impact Factor: 0.104
2015 SCImago Journal Rankings: 0.451
References

 

DC FieldValueLanguage
dc.contributor.authorAi, Cen_US
dc.contributor.authorChatrath, Aen_US
dc.contributor.authorSong, Fen_US
dc.date.accessioned2012-12-19T09:39:46Z-
dc.date.available2012-12-19T09:39:46Z-
dc.date.issued2007en_US
dc.identifier.citationQuarterly Review Of Economics And Finance, 2007, v. 47 n. 2, p. 366-381en_US
dc.identifier.issn1062-9769en_US
dc.identifier.urihttp://hdl.handle.net/10722/177743-
dc.description.abstractStandard static hedging models employing futures contracts yield poor results for most commodities, especially when compared with the evidence for financial instruments such as stock indexes and currencies. Moreover, the efforts in the dynamic hedging of commodity prices via GARCH models have found limited success. In this paper, we propose an alternate approach for constructing the 'optimal' hedge ratio. The approach differs from previous methods in two respects. First, we incorporate controls for seasonals, time to maturity, inventories, and futures term-structure in the construction of hedge ratio. Second, we adopt a partially linear functional form for the hedge ratio. Employing data from the U.S. markets for corn, cotton, and soybeans, we find that our method substantially outperforms the static, semi-dynamic, and GARCH models. © 2007 Board of Trustees of the University of Illinois.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/qrefen_US
dc.relation.ispartofQuarterly Review of Economics and Financeen_US
dc.rightsThe Quarterly Review of Economics and Finance. Copyright © Elsevier BV.-
dc.subjectCommoditiesen_US
dc.subjectFuturesen_US
dc.subjectHedgingen_US
dc.subjectNonparametricen_US
dc.subjectSeasonalen_US
dc.titleA semiparametric estimation of the optimal hedge ratioen_US
dc.typeArticleen_US
dc.identifier.emailSong, F: fmsong@hkucc.hku.hken_US
dc.identifier.authoritySong, F=rp01095en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.qref.2005.07.003en_US
dc.identifier.scopuseid_2-s2.0-34247602155en_US
dc.identifier.hkuros129754-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-34247602155&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume47en_US
dc.identifier.issue2en_US
dc.identifier.spage366en_US
dc.identifier.epage381en_US
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridAi, C=7003770272en_US
dc.identifier.scopusauthoridChatrath, A=6701310668en_US
dc.identifier.scopusauthoridSong, F=7203075605en_US

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats