Robust estimation of the optimal hedge ratio

Journal of Futures Markets

Volumn 23, Issue 8, 2003, Pages 799-816

  Harris, Richard D F ^a   Shen, Jian ^a  

^a UNIVERSITY OF EXETER BUSINESS SCHOOL   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 18844389873     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10085     Document Type: Review

References (34)

1. Alexander, C., & Leigh, C. (1997). On the covariance matrices used in value at risk models. Journal of Derivatives, 4, 50-62.
2. Baillie, R., & DeGennaro, R. (1990). Stock returns and volatility. Journal of Financial and Quantitative Analysis, 25, 203-214.
3. Baillie, R. T., & Myers, R. J. (1991). Bivariate GARCH estimation of the optimal commodity futures hedge. Journal of Applied Econometrics, 6, 109-124.
4. Benninga, S., Eldor, R., & Zilcha, I. (1984). The optimal hedge ratio in unbiased futures markets. Journal of Futures Markets, 4, 155-159.
5. Bollerslev, T. (1986). Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
6. Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH approach. Review of Economics and Statistics, 72, 498-505.
7. Bollerslev, T., Chou, R., & Kroner, K. (1992). ARCH modelling in finance. Journal of Econometrics, 52, 5-59.
8. Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96, 116-131.
9. Bondesson, L. (1975). Normal distribution, gamma distribution and quadratic polynomial statistics. Scandinavian Journal of Statistics, 2, 138-144.
10. Boudoukh, J., Richardson, M., & Whitelaw, R. (1997). Investigation of a class of volatility estimation. Journal of Derivatives, 4, 63-71.
11. Brooks, C., & Chong, J. (2001). The cross-currency hedging performance of implied versus statistical forecasting models. The Journal of Futures Markets, 21, 1043-1069.
12. Cargill, T., & Rausser, T. (1975). Temporal price behaviour in commodity futures markets. Journal of Finance, 30, 1043-1053.
13. Cecchetti, S. G., Cumby, R. E., & Figlewski, S. (1988). Estimation of optimal futures hedge. Review of Econometrics and Statistics, 70, 623-630.
14. Clements, M., & Hendry, D. (1998). Forecasting economic time series. New York: Cambridge University Press.
15. Doukas, J., & Rahman, A. (1987). Unit roots tests: Evidence from the foreign exchange futures market. Journal of Financial and Quantitative Analysis, 22, 101-108.
16. Ederington, L. H. (1979). The hedging performance of the new futures market. Journal of Finance, 34, 157-170.
17. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation. Econometrica, 50, 987-1008.
18. Engle, R. F., & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Econometric Reviews, 5, 1-50.
19. Gagnon, L., & Lypny, G. (1995). Hedging short-term interest risk under time-varying distributions. Journal of Futures Markets, 15, 767-783.
20. Goldenberg, D. (1988). Trading frictions and futures price movements. Journal of Financial and Quantitative Analysis, 23, 465-483.
21. Guermat, C., & Harris, R. D. F. (2002). Robust conditional variance estimation and value at risk. Journal of Risk, 4, 25-41.
22. Huber, P. (1981). Robust statistics. New York: Wiley.
23. JP Morgan. (1996). Riskmetrics™ Technical document, 4th ed. New York: JP Morgan.
24. Kano, Y (1994). Consistency property of elliptical probability density functions. Journal of Multivariate Analysis, 51, 139-147.
25. Kroner, K. F., & Sultan, J. (1991). Exchange rate volatility and time varying hedge ratios. Pacific-Basin Capital Markets Research, 2, 397-412.
26. Kroner, K. F., & Sultan, J. (1993). Time varying distribution and dynamic hedging with foreign currency futures. Journal of Finance and Quantitative Analysis, 28, 535-551.
27. Lin, J. W., Najand, M., & Yung, K. (1994). Hedging with currency futures: OLS vs. GARCH. Journal of Multinational Financial Management, 4, 45-67.
28. Myers, R. J., & Thompson, S. R. (1989). Generalized optimal hedge ratio estimation. American Journal of Agricultural Economics, 71, 858-868.
29. Nelson, D., & Foster, D. (1996). Asymptotic filtering theory for univariate ARCH models. Econometrica, 62, 1-41.
30. Park, T. H., & Switzer, L. N. (1995). Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note. Journal of Futures Markets, 15, 61-67.
31. Solnik, B. (2000). International investments, 4th ed. Boston: Addison Wesley Longman Inc.
32. Spanos, A. (1999). Probability theory and statistical inference, 2nd ed. New York: Cambridge University Press.
33. Taylor, S. (1985). The behaviour of futures prices over time. Applied Economics, 17, 713-734.
34. Tong, W.H.S. (1996). An examination of dynamic hedging. Journal of International Money and Finance, 15, 19-35.