Preference-free optimal hedging using futures
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 66 (2000)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/locate/ecolet
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lence, Sergio H., 1995.
"On the optimal hedge under unbiased futures prices,"
Elsevier, vol. 47(3-4), pages 385-388, March.
- Lence, Sergio H., 1995. "On the Optimal Hedge Under Unbiased Futures Prices," Staff General Research Papers 5115, Iowa State University, Department of Economics.
- Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-95, December.
- Baillie, R.T. & Myers, R.J., 1989.
"Modeling Commodity Price Distributions And Estimating The Optimal Futures Hedge,"
201, Columbia - Center for Futures Markets.
- Baillie, R.T. & Myers, R.J., 1989. "Modeling Commodity Price Distribution And Estimating The Optimal Futures Hedge," Papers 8814, Michigan State - Econometrics and Economic Theory.
- Benninga, Simon & Eldor, Rafael & Zilcha, Itzhak, 1983. "Optimal hedging in the futures market under price uncertainty," Economics Letters, Elsevier, vol. 13(2-3), pages 141-145.
- Baillie, Richard T & Myers, Robert J, 1991. "Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 109-24, April-Jun.
- Owen, Joel & Rabinovitch, Ramon, 1983. " On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-52, June.
- Liu, Shi-Miin & Brorsen, B Wade, 1995. " GARCH-Stable as a Model of Futures Price Movements," Review of Quantitative Finance and Accounting, Springer, vol. 5(2), pages 155-67, June.
- Rodt, Marc & Schäfer, Klaus, 2005. "Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie," Freiberg Working Papers 2005,18, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
- Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 133-161, December.
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