On the stationarity of futures hedge ratios
نویسندگان
چکیده
منابع مشابه
Delivery Options and Treasury Bond Futures Hedge Ratios
D erivatives such as futures contracts on Treasury bonds (T-bonds) anci notes are tailorniade for hedging interest-rate risk, and in priticiple, computation of an optimal hedge ratio should be easy. The risk-minimizing number oi contracts is obtained by dividing the price value of a basis point {PVBP) ofthe underlying cash position (i.e., the change in dollar value resulting trom a I basis poin...
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The focus of this article is to compare dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this purpose, use is made of industry standard methods, like the naive hedging or the CAPM approach, more ad...
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ژورنال
عنوان ژورنال: Operational Research
سال: 2020
ISSN: 1109-2858,1866-1505
DOI: 10.1007/s12351-020-00607-0