The use and abuse of the hedging effectiveness measure

International Review of Financial Analysis

Volumn 14, Issue 2, 2005, Pages 277-282

  Lien, Donald ^a  

^a UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

Author keywords

Conditional variance; Hedging effectiveness; OLS hedge ratio; Unconditional variance

Indexed keywords

EID: 12944258672     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2004.11.001     Document Type: Article

References (2)

1. L.H. Ederington The hedging performance of the new futures markets Journal of Finance 34 1979 157-170
2. R.J. Myers S.R. Thompson Generalized optimal hedge ratio estimation American Journal of Agricultural Economics 71 1989 858-868