Derivative pricing model and time-series approaches to hedging: A comparison
نویسندگان
چکیده
منابع مشابه
Derivative Pricing Model and Time-series Approaches to Hedging: a Comparison
This research compares derivative pricing model and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using futures contracts. For various methods of parameter estimation and...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2005
ISSN: 0270-7314,1096-9934
DOI: 10.1002/fut.20163