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The use and abuse of the hedging effectiveness measure

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References

1979The Hedging Performance of the New Futures Markets1,566 cited
1989Generalized Optimal Hedge Ratio Estimation381 cited

Cited by

2007Effectiveness of Minimum-Variance Hedging66 cited
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2017Do commodities make effective hedges for equity investors?44 cited
2007A note on the hedging effectiveness of GARCH models44 cited
2013Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme28 cited
2007Hedging effectiveness comparisons: A note23 cited
2022How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method22 cited
2007The role of long memory in hedging effectiveness18 cited
2010A note on the relationship between the variability of the hedge ratio and hedging performance17 cited
2011Hedging Effectiveness in the Index Futures Market16 cited
2010Estimating optimal hedge ratio: a multivariate skew-normal distribution approach16 cited
2015Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection16 cited

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2006Estimation bias of futures hedging performance: A note14 cited

2014Evaluating the Effectiveness of Futures Hedging13 cited