Time-varying Hedge Ratios: A Principal-agent Approach

Estimating Hedge Ratios

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Management Working Papers School of Management Short-run deviations and time-varying hedge ratios: evidence from agricultural futures markets

This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets based on four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the bivariate BEKK GARCH-X. The GARCH-X and the BEKK GARCH-X models are uniquely different from the other...

Dynamic Correlations and Optimal Hedge Ratios

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...

Time Ratios Or Hazard Ratios: Accelerating Toward A New Approach?

A Mathematical Approach for Describing Time-Dependent Poisson’s Ratios of Periodontal Ligaments

Periodontal ligament is a thin layer of soft tissue that connects root of a tooth to the surrounding alveolar bone. These ligaments play an important role in initiating tooth movement when loads are applied to teeth with orthodontic appliances. The majority of such soft tissues exhibit as viscoelastic bodies or have a time-dependent behavior. Due to the viscoelastic behavior of the periodontal ...