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Are Regression Approach Futures Hedge Ratios Stationary
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Book Synopsis Are Regression Approach Futures Hedge Ratios Stationary? by : Robert Ferguson
Download or read book Are Regression Approach Futures Hedge Ratios Stationary? written by Robert Ferguson and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In contrast to some recent research, this article finds that regression approach futures hedge ratios are stationary. It shows that a previous study's failure to reject the random walk null hypothesis was due to its small sample size and the overlapping hedge ratio calculation approach's bias toward accepting the random walk hypothesis. The impact of overlap on the Dickey-Fuller full model intercept and slope estimates is demonstrated analytically and numerically. Finally, the article shows that out-of-sample hedging performance is not significantly improved by updating the hedge ratios.
Book Synopsis Futures Hedge Profit Measurement Error-Correction Model Vs. Regression Approach Hedge Ratios, and Data Error Effects by : Robert Ferguson
Download or read book Futures Hedge Profit Measurement Error-Correction Model Vs. Regression Approach Hedge Ratios, and Data Error Effects written by Robert Ferguson and published by . This book was released on 2017 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes that, and explains why, hedge profits and regression approach hedge ratios should be calculated using cost-of-carry-adjusted price changes. This Modified Regression Method for determining hedge ratios is denoted MRM. The paper discusses the Error-Correction Model for hedge ratio determination as it has been applied (denoted ECM), discusses how it should be applied, and relates each to the MRM. Data errors can cause the MRM hedge ratios to be smaller and more variable than the ECM's (as observed empirically). On theoretical and practical grounds, the MRM is preferred to the ECM unless there are significant data errors.
Book Synopsis Using Regression Techniques to Estimate Futures Hedge Ratios, Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures by : David E. Allen
Download or read book Using Regression Techniques to Estimate Futures Hedge Ratios, Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures written by David E. Allen and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper uses Australian bond futures data from the Sydney Futures Exchange to critically assess some of the potential problems involved in the use of cointegration techniques in the calculation of minimum variance hedge ratios. Following Ghosh (1993a,b) there have been a number of papers which have made use of these techniques. Ghosh (1993), and Lien (1996) suggest that if spot and futures prices are cointegrated then the non-inclusion of an error correction term in the VAR model used to estimate the hedge ratio will lead to mis-specification problems and the under-estimation of the true optimal hedge ratio. We examine the use of such regression techniques in the calculation of hedge ratios.In particular we consider the extent to which the stacking of the data into a time series, which effectively constrains the estimated hedge ratio to a single value over the span of the data, influences the results of such techniques. If the hedge ratio differs by contract, the movement from one contract to the next is likely to lead to instability in the estimated regression coefficients. Tests for parameter instability in the estimated regression suggest that this is indeed the case and our conclusion is that it is preferable to consider the estimation of the hedge ratio in a panel setting with each individual contract considered as an observational unit. One problem in the past with such a move has been the lack of tests for cointegration and unit roots in such a setting, fortunately these are now available and we take advantage of them in this paper. In such a panel setting we find that the result that the spot and futures prices are cointegrated still holds but that the estimated hedge ratios are not constant between contracts, throwing doubt on the applicability of regression methods which make such an assumption.
Book Synopsis Using Regression Techniques to Estimate Futures Hedge Ratios by :
Download or read book Using Regression Techniques to Estimate Futures Hedge Ratios written by and published by . This book was released on 1999 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investment Analysis & Portfolio Management by : Frank K. Reilly
Download or read book Investment Analysis & Portfolio Management written by Frank K. Reilly and published by Cengage AU. This book was released on 2019-11-19 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first Asia-Pacific edition of Reilly/Brown’s Investment Analysis and Portfolio Management builds on the authors’ strong reputations for combining solid theory with practical application and has been developed especially for courses across the Australia, New Zealand, and Asia-Pacific regions. The real-world illustrations and hands-on activities enhance an already rigourous, empirical approach to topics such as investment instruments, capital markets, behavioural finance, hedge funds, and international investment. The text also emphasises how investment practice and theory are influenced by globalisation.
Book Synopsis Journal of Agricultural and Resource Economics by :
Download or read book Journal of Agricultural and Resource Economics written by and published by . This book was released on 2004 with total page 646 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Spot Asset Carry Cost Rates and Futures Hedge Ratios by : Dean Leistikow
Download or read book Spot Asset Carry Cost Rates and Futures Hedge Ratios written by Dean Leistikow and published by . This book was released on 2019 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The traditional futures hedge ratio (hT) is calculated ex post via economically structureless statistical analysis. Its lack of an economic foundation makes it inefficient and elevates its risk of error due to a regime shift. This paper proposes an ex ante, more efficient, carry cost rate (c) based hedge ratio (hc). While the paper shows that hc is biased, it demonstrates that c underlies both hT and hc, such that hT/hc is stationary. Consequently, a prior period's hT/hc ratio, even if from the distant past, or a different c regime, works well as an ex ante bias adjustment multiplier for the current hc to mitigate its bias. Finally, it shows that the hedge effectiveness for both hc and the bias-adjusted version of hc exceed that for hT, though the excess hedge effectiveness of hc over hT is not always statistically significant.
Book Synopsis Regression-based Hedging with Short-term Interest Rate Futures by : Zazral Purewsuren
Download or read book Regression-based Hedging with Short-term Interest Rate Futures written by Zazral Purewsuren and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :City of London College of Economics Publisher :City of London College of Economics ISBN 13 : Total Pages :7766 pages Book Rating :4./5 ( download)
Book Synopsis Executive MBA (EMBA) - City of London College of Economics - 10 months - 100% online / self-paced by : City of London College of Economics
Download or read book Executive MBA (EMBA) - City of London College of Economics - 10 months - 100% online / self-paced written by City of London College of Economics and published by City of London College of Economics. This book was released on with total page 7766 pages. Available in PDF, EPUB and Kindle. Book excerpt: Overview An EMBA (or Master of Business Administration in General Management) is a degree that will prepare you for management positions. Content - Strategy - Organisational Behaviour - Operations Management - Negotiations - Marketing - Leadership - Financial Accounting - Economics - Decision Models - Data Analysis - Corporate Finance Duration 10 months Assessment The assessment will take place on the basis of one assignment at the end of the course. Tell us when youfeel ready to take the exam and we’ll send you the assign- ment questions. Study material The study material will be provided in separate files by email / download link.
Download or read book 投资分析与组合管理 written by Frank K. Reilly and published by 中信出版社. This book was released on 2002 with total page 1284 pages. Available in PDF, EPUB and Kindle. Book excerpt: 本书向您介绍了投资分析与组合管理。
Book Synopsis M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets by : Wenling Yang
Download or read book M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets written by Wenling Yang and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Office for Futures and Options Research Paper by :
Download or read book Office for Futures and Options Research Paper written by and published by . This book was released on 1993 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of International Money and Finance by :
Download or read book Journal of International Money and Finance written by and published by . This book was released on 2001 with total page 1112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Index Futures by : Charles M.S. Sutcliffe
Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Book Synopsis Financial Econometrics, Mathematics and Statistics by : Cheng-Few Lee
Download or read book Financial Econometrics, Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
Book Synopsis Investment Analysis and Portfolio Management by : Frank K. Reilly
Download or read book Investment Analysis and Portfolio Management written by Frank K. Reilly and published by South Western Educational Publishing. This book was released on 2003 with total page 1252 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to help you learn how to manage your money to derive the maximum benefit from what you earn. Mixing investment instruments and capital markets with the theoretical detail on evaluating investments and opportunities to satisfy risk-return objectives along with how investment practice and theory is influenced by globalization leaves readers with the mindset on investments to serve them well. The material is intended to be rigorous and empirical yet not overly quantitative. We continue with unparalleled international coverage, newly rewritten and reorganized derivatives material to be more intuitive and clearer, three additional chapters on derivatives pricing for those who want more detail, rewritten material on multifactor models of risk and return, and new CFA problems for more practice on computations concerning investment decisions. To manage money and investments, one needs to learn about investment alternatives and develop a way of analyzing and thinking about investments that will be of benefit and allow a foundation as new tools and investment opportunities become available. Reilly/Brown provide the best foundation, used extensively by professionals, organizations, and schools across the country. A great source for those with both a theoretical and practical need for investment expertise.
Book Synopsis Commodity Futures Hedge Ratios by : Je̜drzej Białkowski
Download or read book Commodity Futures Hedge Ratios written by Je̜drzej Białkowski and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
