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The use and abuse of the hedging effectiveness measure · Study

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ArticleThe use and abuse of the hedging effectiveness measure

Donald D. Lien2005

OA

Articlegreen2005

The use and abuse of the hedging effectiveness measure

60 citations·0/0 files stored·International Review of Financial Analysis

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Risk Management in Financial Firms Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1979The Hedging Performance of the New Futures Markets 1989Generalized Optimal Hedge Ratio Estimation

Cited by

2007Effectiveness of Minimum-Variance Hedging 2012The (de)merits of minimum-variance hedging: Application to the crack spread 2017Do commodities make effective hedges for equity investors?2007A note on the hedging effectiveness of GARCH models 2013Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme 2007Hedging effectiveness comparisons: A note 2022How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method 2007The role of long memory in hedging effectiveness

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2002Some Recent Developments in Futures Hedgingarticle · 2 shared references 1991Estimating time‐varying optimal hedge ratios on futures marketsarticle · 2 shared references 1993Hedging with stock index futures: Estimation and forecasting with error correction modelarticle · 2 shared references 2003Futures hedge ratios: a reviewarticle · 2 shared references 2004A selected review of agricultural commodity futures and options marketsarticle · 2 shared references 2015Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?article · 2 shared references

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Year2005

Typearticle

Published2005-01-01

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations60

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.1016/j.irfa.2004.11.001

openalex_workW1972304166

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