Publication Date:
2016-06-01
Description:
This work deals with issues relating to multiperiod hedging ratios (MHRs). First, we derive an analytical formula for the MHR starting from the triangular representation of a cointegrated system. Second, using both overlapping and non-overlapping price changes, we investigate the properties of OLS MHR. Third, we resort to simulated data to investigate the performance of MHR estimators. Unlike previous studies, we do not use real data whose data generating process is unknown; instead we run a Monte Carlo exercise to investigate estimators and compare them with theoretical measures. Finally, we apply our approach to real data for a hedging related to soft wheat.
Print ISSN:
0165-1587
Electronic ISSN:
1464-3618
Topics:
Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition
,
Economics
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