IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-030-91231-4_74.html
   My bibliography  Save this book chapter

Three Alternative Methods for Estimating Hedge Ratios

In: Encyclopedia of Finance

Author

Listed:
  • Sheng-Syan Chen

    (National Chengchi University)

  • Cheng-Few Lee

    (Rutgers University)

  • Fu-Lai Lin

    (Dar-Yeh University)

  • Keshab Shrestha

    (Monash University Malaysia)

Abstract

This chapter first discusses four different theoretical models, which include minimum variance, mean-variance, expected utility, and value-at-risk method. Then we use S&P 500 data to show how three alternative estimation methods can be used to estimate hedge ratio. These three methods include OLS method, GARCH method, and cointegration and error correction method. We found that OLS method is not sufficient for estimating hedge ratio.

Suggested Citation

  • Sheng-Syan Chen & Cheng-Few Lee & Fu-Lai Lin & Keshab Shrestha, 2022. "Three Alternative Methods for Estimating Hedge Ratios," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 74, pages 1703-1726, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-91231-4_74
    DOI: 10.1007/978-3-030-91231-4_74
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-030-91231-4_74. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.