The Effect of Asymmetries on Optimal Hedge Ratios

Journal of Business

Volumn 75, Issue 2, 2002, Pages 333-352

  Brooks, Chris ^a   Henry, Ólan T ^c   Persand, Gita ^b  

^a UNIVERSITY OF READING   (United Kingdom)

^b UNIVERSITY OF BRISTOL   (United Kingdom)

^c NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0013286449     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/338484     Document Type: Article

References (23)

1. Baillie, R. T., and Myers, R. J. 1991. Bivariate GARCH estimation of the optimal commodity futures hedge. Journal of Applied Econometrics 6 (April): 109-24.
2. Bollerslev, T.; Engle, R. F.; and Wooldridge, J. M. 1988. A capital asset pricing model with time-varying covariances. Journal of Political Economy 96 (February): 116-31.
3. Brooks, C.; Clare, A. D.; and Persand, G. 2000. A word of caution on calculating market-based capital risk requirements. Journal of Banking and Finance 14 (October): 1557-74.
4. Cecchetti, S. G.; Cumby, R. E.; and Figlewski, S. 1988. Estimation of optimal futures hedge. Review of Economics and Statistics 70 (November): 623-30.
5. Dimson, E., and P. Marsh 1997. Stress tests of capital requirements. Journal of Banking and Finance 21 (July): 1515-46.
6. Efron, B. 1982. The Jackknife, the Bootstrap, and Other Resampling Plans. Philadelphia: Society for Industrial and Applied Mathematics.
7. Engle, R. F., and Granger, C. W. J. 1987. Cointegration and error correction: Representation, estimation and testing. Econometrica 55 (March): 251-76.
8. Engle, R. F., and Kroner, K. 1995. Multivariate simultaneous generalised ARCH. Econometric Theory 11 (March): 122-50.
9. Engle, R. F., and Ng, V. 1993. Measuring and testing the impact of news on volatility. Journal of Finance 48 (December): 1749-78.
10. Fuller, W. A. 1976. Introduction to Statistical Time Series. New York: Wiley.
11. Ghosh, A. 1993. Cointegration and error correction models: Intertemporal causality between index and futures prices. Journal of Futures Markets 13 (April): 193-98.
12. Glosten, L. R.; Jagannathan, R.; and Runkle, D. E. 1993. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48 (December): 1779-1801.
13. Hodgson, A., and Okunev, J. 1992. An alternative approach for determining hedge ratios for futures contracts. Journal of Business Finance and Accounting 19 (January): 211-24.
14. Hsieh, D. A. 1993. Implications of non-linear dynamics for financial risk management. Journal of Financial and Quantitative Analysis 28 (March): 41-64.
15. Johansen, S. 1988. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12:231-54.
16. Kroner, K. F., and Ng, V. K. 1998. Modelling asymmetric co-movements of asset returns. Review of Financial Studies 11 (Winter): 817-44.
17. Kroner, K. F., and Sultan, J. 1991. Exchange rate volatility and time-varying hedge ratios. In S. G. Rhee and R. P. Chang (eds.), Pacific Basin Capital Markets Research. North Holland, N.Y.: Elsevier.
18. Lien, D., and Luo, X. 1993. Estimating multiperiod hedge ratios in cointegrated markets. Journal of Futures Markets 13 (December): 909-20.
19. Lin, J. W.; Najand, M.; and Yung, K. 1994. Hedging with currency futures: OLS versus GARCH. Journal of Multinational Financial Management 4 (January): 45-67.
20. Myers, R. T., and Thompson, S. R. 1989. Generalized optimal hedge ratio estimation. American Journal of Agricultural Economics 71 (November): 858-67.
21. Park, T. H., and Switzer, L. N. 1995. Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. Journal of Futures Markets 15 (February): 61-67.
22. Strong, R. A., and Dickinson, A. 1994. Forecasting better hedge ratios. Financial Analysts Journal 50 (January-February): 70-72.
23. Sutcliffe, C. 1997. Stock Index Futures: Theories and International Evidence. 2d ed. London: Thompson Business.