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dc.contributor.authorHatemi-J, A
dc.contributor.authorRoca, E
dc.contributor.editorMark Taylor, Lucio Sarno
dc.date.accessioned2017-05-03T11:42:04Z
dc.date.available2017-05-03T11:42:04Z
dc.date.issued2006
dc.identifier.issn1350-4851
dc.identifier.doi10.1080/13504850500365848
dc.identifier.urihttp://hdl.handle.net/10072/11282
dc.description.abstractA crucial input in the hedging of risk is the optimal hedge ratio - defined by the relationship between the price of the spot instrument and that of the hedging instrument. Since it has been shown that the expected relationship between economic or financial variables may be better captured by a time varying parameter model rather than a fixed coefficient model, the optimal hedge ratio, therefore, can be one that is time varying rather than constant. This study suggests and demonstrates the use of the Kalman Filter approach for estimating time varying hedge ratio - a procedure that is statistically more efficient and with better forecasting properties.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.format.extent267761 bytes
dc.format.extent28979 bytes
dc.format.extent267761 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.languageEnglish
dc.language.isoeng
dc.publisherRoutledge
dc.publisher.placeUnited Kingdom
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom293
dc.relation.ispartofpageto299
dc.relation.ispartofissue5
dc.relation.ispartofjournalApplied Economics Letters
dc.relation.ispartofvolume13
dc.rights.retentionN
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchcode3801
dc.subject.fieldofresearchcode3502
dc.titleCalculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.rights.copyright© 2006 Taylor & Francis. This is an electronic version of an article published in Applied Economics Letters, Volume 13, Issue 5, 2006, Pages 293-299. Applied Economics Letters is available online at: http://www.tandfonline.com with the open URL of your article.
gro.date.issued2015-02-11T04:02:11Z
gro.hasfulltextFull Text
gro.griffith.authorRoca, Eduardo D.


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