Artikel
Dynamic conditional bias-adjusted carry cost rate futures hedge ratios
This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark hedge ratios across three broad asset classes. Three of the hedge ratios are based on the upward-biased carry cost rate hedge ratio, where each is augmented in a different bias-mitigating way. The carry cost rate hedge ratio augmented with the dynamic conditional correlation between spot and futures price changes generally: (1) provides the highest hedging effectiveness and (2) has a statistically significantly higher hedging effectiveness than the other hedge ratios across assets, sub-periods, and rolling window sizes.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 1 ; Pages: 1-17 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Financial Crises
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
- Thema
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carry cost rate
hedge ratio
conditional hedge ratio
bias adjustments
- Ereignis
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Geistige Schöpfung
- (wer)
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Leistikow, Dean
Tang, Yi
Zhang, Wei
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2022
- DOI
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doi:10.3390/jrfm15010012
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Leistikow, Dean
- Tang, Yi
- Zhang, Wei
- MDPI
Entstanden
- 2022