Futures hedging using dynamic models of the variance/covariance structure

Dynamic futures‐hedging ratios are estimated across seven markets using generalized models of the variance/covariance structure. The hedging performances of the resultant dynamic strategies are then compared with static and naïve strategies, both in‐ and out‐of‐sample. Bayesian‐adjusted hedge ratios...

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Bibliographische Detailangaben

Veröffentlicht in:	The journal of futures markets 2003-03, Vol.23 (3), p.241-260
Hauptverfasser:	Poomimars, Ponladesh, Cadle, John, Theobald, Michael
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayesian method Commodities Economics Estimation Finance Futures Hedging Market Mathematical methods Mathematical models Ratios Studies
Online-Zugang:	Volltext
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