Futures hedge profit measurement, Error-Correction Model vs. regression approach hedge ratios, and data error effects

Financial Management

Volumn 28, Issue 4, 1999, Pages 118-125

  Ferguson, Robert ^a   Leistikow, Dean ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033273173     PISSN: 00463892     EISSN: None     Source Type: Journal    
DOI: 10.2307/3666307     Document Type: Article

References (26)

1. Bell, D. and W. Krasker, 1986, "Estimating Hedge Ratios," Financial Management (Summer), 34-39.
2. Berkman, H., M.E. Bradbury, and S. Magan, 1997, "An International Comparison of Derivatives Use," Financial Management (Winter), 69-73.
3. Bodnar, G.M., G.S. Hayt, and R.C. Marston, 1996, "1995 Wharton Survey of Financial Risk Management by US Non-Financial Firms," Financial Management (Winter), 113-133.
4. Bodnar, G.M., G.S. Hayt, and R.C. Marston, 1998, "1998 Wharton Survey of Financial Risk Management by US Non-Financial Firms," Financial Management (Winter), 70-91.
5. Bodnar, G.M., G.S. Hayt, R.C. Marston, and C.W. Smithson, 1995, "Wharton Survey * of Derivatives Usage by US Non-Financial Firms," Financial Management (Summer), 104-114.
6. th Ed., New York, NY, McGraw-Hill.
7. Brennan, M., 1958, "The Supply of Storage," American Economic Review (March), 50-71.
8. Castelino, M., 1990, "Minimum Variance Hedging with Futures Revisited," Journal of Portfolio Management (Spring), 74-80.
9. Chou, W., K. Denis, and C. Lee, 1996, "Hedging with the Nikkei Index Futures: The Conventional Model versus the Error Correction Model," Quarterly Review of Economics and Finance (Winter), 495-505.
10. Ederington, L., 1979, "The Hedging Performance of the New Futures Markets," Journal of Finance (March), 157-170.
11. Engle, R. and C. Granger, 1987, "Cointegration and Error Correction, Estimation, and Testing," Econometrica (March), 251-276.
12. Gay, G.D. and J. Nam, 1998, "The Underinvestment Problem and Corporate Derivatives Use," Financial Management (Winter), 53-69.
13. Ghosh, A., 1993, "Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model," Journal of Futures Markets (October), 743-752.
14. Ghosh, A. and R. Clayton, 1996, "Hedging with International Stock Index Futures: An Intertemporal Error Correction Model," Journal of Financial Research (Winter), 477-491.
15. Hendry, D., A. Pagan, and J. Sargan, 1984, "Dynamic Specification," in Z. Griliches and M. Intriligator, Eds. Handbook of Econometrics, vol. 2, Amsterdam, North-Holland, 1023-1100.
16. Howton, S.D. and S.B. Perfect, 1998, "Currency and Interest-Rate Derivatives Use in US Firms," Financial Management (Winter), 111-121.
17. Kennedy, P., 1992, A Guide to Econometrics, 3rd ed., Cambridge, MA, MIT Press.
18. Kroner, K. and J. Sultan, 1993, "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis (December). 535-551.
19. Leistikow, D., 1989, "Announcements and Futures Price Variability," Journal of Futures Markets (December), 477-486.
20. Leistikow, D., 1992, "Refinements in the Regression Approach to Hedge Ratio Determination," Fordham University Working Paper.
21. Leistikow, D., 1993, "Impacts of Shifts in Uncertainty on Spot and Futures Price Change Serial Correlation and Standardized Covariation Measures," Journal of Futures Markets (December), 873-887.
22. Leistikow, D., 1994, "Improvements in Calculating the Regression Approach Hedge Ratio: Currency and Equity Market Evidence," Fordham University Working Paper.
23. McNew, K. and P. Fackler, 1994, "Nonconstant Optimal Hedge Ratio Estimation and Nested Hypotheses Tests," Journal of Futures Markets (August), 619-635.
24. Morgan, W., 1939, "A Test for the Significance of the Difference between the Two Variances in a Sample from the Normal Bivariate Population," Biometrika, 13-19.
25. Stein, J., 1961, "The Simultaneous Determination of Spot and Futures Prices," American Economic Review (December), 1012-1025.
26. Working, H., 1949, "The Theory of Price of Storage," American Economic Review (December), 1254-1262.