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Re-evaluating Hedging Performance. (2005). Hanly, Jim ; cotter, john.
In: MPRA Paper.
RePEc:pra:mprapa:3523.

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Cited: 11

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Cites: 22

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Cocites: 50

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  1. Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks. (2021). Wang, Yudong ; Geng, Qianjie.
    In: Computational Economics.
    RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-020-09979-z.

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  2. Handling financial risks in crude oil imports: Taking into account crude oil prices as well as country and transportation risks. (2020). Wang, Shuang ; Gu, Yewen ; Lu, Jing ; Wallace, Stein W.
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311883.

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  3. Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim.
    In: The Energy Journal.
    RePEc:aen:journl:ej38-3-hanly.

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  4. Performance of Utility Based Hedges. (2014). Hanly, Jim ; cotter, john.
    In: Working Papers.
    RePEc:ucd:wpaper:201404.

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  5. Commodity Price Correlation and Time varying Hedge Ratios. (2014). Guesmi, Khaled ; Lahiani, Amine.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-142.

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  6. Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches. (2013). Hou, Yang ; Li, Steven.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:24:y:2013:i:c:p:109-131.

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  7. Hedging Effectiveness under Conditions of Asymmetry. (2011). Hanly, Jim ; cotter, john.
    In: Working Papers.
    RePEc:ucd:wpaper:200843.

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  8. Dynamic Hedging inMarkov Regimes Switching. (2011). Monteiro, Wagner ; Bueno, Rodrigo ; De-Losso, Rodrigo ; Rodrigo De Losso da Silveira Bueno, .
    In: Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting].
    RePEc:anp:en2009:136.

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  9. Time-varying risk aversion: An application to energy hedging. (2010). Hanly, Jim ; cotter, john.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:2:p:432-441.

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  10. The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model. (2008). Vedenov, Dmitry ; Power, Gabriel.
    In: 2008 Conference, April 21-22, 2008, St. Louis, Missouri.
    RePEc:ags:nccest:37609.

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  11. Hedging Effectiveness under Conditions of Asymmetry. (2007). Hanly, Jim ; cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3501.

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References

References cited by this document

  1. Baillie, R.T., & Myers, R.J. (1991). Bivariate GARCH estimation of the optimal futures hedge.
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  2. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.

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  6. Brooks, C., Henry, O.T., & Persand, G. (2002). The effects of asymmetries on optimal hedge ratios. Journal of Business, 75, 333-352.

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  11. Efron, B. (1979). Bootstrap methods: Another look at the Jack-knife. The Annals of Statistics, 7, 1-26.
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  12. Engle, R., & Kroner, K. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11, 122-150.

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  17. Lien, D., Tse, Y.L, & Tsui, AlL (2002). Evaluating the hedging performance of the constant- correlation GARCH modeL Applied Financial Economics, 12,791-798.

  18. Park~ TM., & Switzer, UI. (1995). Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. Journal of Futures Markets, 15,61-67.
    Paper not yet in RePEc: Add citation now

  19. Review of Economics and Statistics, 70, 623 - 630. 23 Choudhry, T. (2003). Short run deviations and optimal hedge ratios: Evidence from stock futures. Journal of Multinational Financial Management, 13, 171 - 192.

  20. Review of Financial Studies, 4,597-622. Demirer, it, & Lien, D. (2003). Downside risk for short and long hedgers. International Review of Economics and Finance, 12,25-44.

  21. Roy, A. (1952). Safety first and the holding of assets. Economelrica, 20,431-449.
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  22. Tasche, D. (2002). Expected shortfall and beyond. Journal of Banking and FInance, 26, 15 19- 1533.

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