Cointegration and the optimal hedge ratio: the general case
Copyright policy ) Donald Lien;
Cointegration and the optimal hedge ratio: the general case
Abstract This note evaluates the effects of omitted cointegration relationship between spot and futures prices on optimal hedge ratio and hedging effectiveness. It is found that the omission tends to produce a smaller hedge ratio. However, the loss of hedging effectiveness may be minimal.
- The University of Texas at San Antonio United States
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These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
Citations provided by BIP!popularityPopularity provided by BIP!
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
Popularity provided by BIP! 27
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