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.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 1 ; Pages: 1-17 ; Basel: MDPI
- Classification
-
Wirtschaft
Financial Crises
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
- Subject
-
carry cost rate
hedge ratio
conditional hedge ratio
bias adjustments
- Event
-
Geistige Schöpfung
- (who)
-
Leistikow, Dean
Tang, Yi
Zhang, Wei
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2022
- DOI
-
doi:10.3390/jrfm15010012
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Leistikow, Dean
- Tang, Yi
- Zhang, Wei
- MDPI
Time of origin
- 2022
Other Objects (12)
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
News co-occurrences, stock return correlations, and portfolio construction implications
Indirect effects of grazing on wind-dispersed elm seeds in sparse woodlands of Northern China
Crescents and Global Glomerulosclerosis in Chinese IgA Nephropathy Patients: A Five-Year Follow-Up
Characterization of a rhabdomyosarcoma reveals a critical role for SMG7 in cancer cell viability and tumor growth
A multi-energy inertia-based power support strategy with gas network constraints
Risk factors of developmental dysplasia of the hip in a single clinical center
Indirect effects of grazing on wind-dispersed elm seeds in sparse woodlands of Northern China
Liquidity Shocks and Stock Market Reactions
A prospective study of acute kidney injury in the intensive care unit: development and validation of a risk prediction model
Combined Immunosuppressive Treatment May Improve Short-Term Renal Outcomes in Chinese Patients with Advanced IgA Nephropathy
Intrathecal morphine versus femoral nerve block for pain control after total knee arthroplasty: a meta-analysis
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
News co-occurrences, stock return correlations, and portfolio construction implications
Indirect effects of grazing on wind-dispersed elm seeds in sparse woodlands of Northern China
Crescents and Global Glomerulosclerosis in Chinese IgA Nephropathy Patients: A Five-Year Follow-Up
Characterization of a rhabdomyosarcoma reveals a critical role for SMG7 in cancer cell viability and tumor growth
A multi-energy inertia-based power support strategy with gas network constraints
Risk factors of developmental dysplasia of the hip in a single clinical center
Indirect effects of grazing on wind-dispersed elm seeds in sparse woodlands of Northern China
Liquidity Shocks and Stock Market Reactions
A prospective study of acute kidney injury in the intensive care unit: development and validation of a risk prediction model
Combined Immunosuppressive Treatment May Improve Short-Term Renal Outcomes in Chinese Patients with Advanced IgA Nephropathy
Intrathecal morphine versus femoral nerve block for pain control after total knee arthroplasty: a meta-analysis
Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns
News co-occurrences, stock return correlations, and portfolio construction implications
Indirect effects of grazing on wind-dispersed elm seeds in sparse woodlands of Northern China
Crescents and Global Glomerulosclerosis in Chinese IgA Nephropathy Patients: A Five-Year Follow-Up
Characterization of a rhabdomyosarcoma reveals a critical role for SMG7 in cancer cell viability and tumor growth
A multi-energy inertia-based power support strategy with gas network constraints
Risk factors of developmental dysplasia of the hip in a single clinical center
Indirect effects of grazing on wind-dispersed elm seeds in sparse woodlands of Northern China
Liquidity Shocks and Stock Market Reactions
A prospective study of acute kidney injury in the intensive care unit: development and validation of a risk prediction model
Combined Immunosuppressive Treatment May Improve Short-Term Renal Outcomes in Chinese Patients with Advanced IgA Nephropathy