IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v27y2007i2p127-150.html
   My bibliography  Save this article

An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis

Author

Listed:
  • Donald Lien
  • Keshab Shrestha

Abstract

In this article, optimal hedge ratios are estimated for different hedging horizons for 23 different futures contracts using wavelet analysis. The wavelet analysis is chosen to avoid the sample reduction problem faced by the conventional methods when applied to non‐overlapping return series. Hedging performance comparisons between the wavelet hedge ratio and error‐correction (EC) hedge ratio indicate that the latter performs better for more contracts for shorter hedging horizons. However, the performance of the wavelet hedge ratio improves with the increase in the length of the hedging horizon. This is true for both within‐sample and out‐of‐sample cases. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:127–150, 2007

Suggested Citation

  • Donald Lien & Keshab Shrestha, 2007. "An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(2), pages 127-150, February.
    • Handle: RePEc:wly:jfutmk:v:27:y:2007:i:2:p:127-150
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    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:wly:jfutmk:v:27:y:2007:i:2:p:127-150. 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: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    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.