scholarly journals Hedge ratio estimation: A note on the Bitcoin future contract

2021 ◽  
Author(s):  
Koulis Alexandros ◽  
Constantinos Kyriakopoulos
Keyword(s):  
Future Contract ◽  
Ratio Estimation ◽  
Hedge Ratio

scholarly journals Optimal Hedge Ratio estimation: GARCH (1,1) approach, a new model

2017 ◽  
Vol 3 (6) ◽  
Author(s):  
A. García ◽  
J. Rositas ◽  
M. H. Badii
Keyword(s):  
Ratio Estimation ◽  
Hedge Ratio ◽  
New Model ◽  
Gold Futures ◽  
Optimal Hedge

Abstract. An estimation of the Optimal Hedge Ratio on future markets is developed. The methodology incorporates forecasting the volatility and correlation of the spot and future prices using a GARCH (1,1) model, and under these estimations compute the optimal hedge ratio. This document shows a clear example of the methodology, using gold futures to hedge the risk exposure.Key words: GARCH (1,1), hedge Ratio estimationResumen. Se desarrolla una estimación óptima de Hedge Ratio en los mercados del futuro. La metodología se basa en incorporar el pronostico de volatilidad y la correlación entre el precio del momento y del futuro usando el GARCH (1,1). Este documento demuestra un ejemplo claro de la metodología, utilizando el oro en el futuro para proteger el riesgo.Palabras Claves: Estimación de Hedge Ratio, GARCH (1,1)

Optimal Hedge Ratio Estimation and Effectiveness Using ARCD

2007 ◽  
Author(s):  
Eleftheria S. Kostika ◽  
Raphael N. Markellos
Keyword(s):  
Ratio Estimation ◽  
Hedge Ratio ◽  
Optimal Hedge

Nonconstant optimal hedge ratio estimation and nested hypotheses tests

1994 ◽  
Vol 14 (5) ◽  
pp. 619-635 ◽  
Author(s):  
Kevin P. McNew ◽  
Paul L. Fackler
Keyword(s):  
Ratio Estimation ◽  
Hedge Ratio ◽  
Optimal Hedge

Storage profitability and hedge ratio estimation

1996 ◽  
Vol 16 (6) ◽  
pp. 655-676 ◽  
Author(s):  
Sergio H. Lence ◽  
Marvin L. Hayenga ◽  
Michael D. Patterson
Keyword(s):  
Ratio Estimation ◽  
Hedge Ratio
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