Generalized Optimal Hedge Ratio Estimation
1989
Myers, Robert J. | Thompson, Stanley R.
A generalized approach to estimating optimal hedge ratios on futures markets is developed. The generalized approach is not difficult to apply and provides a framework for evaluating the appropriateness of conventional simple regression approaches to optimal hedge ratio estimation. In an application to storage hedging of corn, soybeans, and wheat, it is found that simple regression using price levels or returns leads to errors in optimal hedge ratio estimation but that simple regression using price changes provides reasonably accurate estimates.
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书目信息
出版者
Published by Stockton Press on behalf of the Society for Industrial Microbiology
其它主题
Corn
语言
英语
注释
Journal article
类型
Journal Article; Text
2024-02-29
MODS