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The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated

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  • Ted Juhl
  • Ira G. Kawaller
  • Paul D. Koch

Abstract

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Suggested Citation

  • Ted Juhl & Ira G. Kawaller & Paul D. Koch, 2012. "The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(9), pages 837-876, September.
  • Handle: RePEc:wly:jfutmk:v:32:y:2012:i:9:p:837-876
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    Citations

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    Cited by:

    1. Jitmaneeroj, Boonlert, 2018. "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 282-298.
    2. Koziol, Philipp, 2014. "Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 459-472.
    3. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    4. Cotter, John & Hanly, Jim, 2015. "Performance of utility based hedges," Energy Economics, Elsevier, vol. 49(C), pages 718-726.
    5. Dinica, Mihai Cristian & Armeanu, Daniel, 2014. "The Optimal Hedging Ratio for Non-Ferrous Metals," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 105-122, March.
    6. Jędrzej Białkowski & Jan Koeman, 2017. "Does the Design of Spot Markets Matter for the Success of Futures Markets? Evidence from Dairy Futures," Working Papers in Economics 17/18, University of Canterbury, Department of Economics and Finance.
    7. Markopoulou, Chrysi E. & Skintzi, Vasiliki D. & Refenes, Apostolos-Paul N., 2016. "Realized hedge ratio: Predictability and hedging performance," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 121-133.
    8. Jędrzej Białkowski & Jan Koeman, 2018. "Does the design of spot markets matter for the success of futures markets? Evidence from dairy futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 373-389, March.
    9. Turner, Peter A. & Lim, Siew Hoon, 2015. "Hedging jet fuel price risk: The case of U.S. passenger airlines," Journal of Air Transport Management, Elsevier, vol. 44, pages 54-64.
    10. Ghoddusi, Hamed & Emamzadehfard, Sahar, 2017. "Optimal hedging in the US natural gas market: The effect of maturity and cointegration," Energy Economics, Elsevier, vol. 63(C), pages 92-105.
    11. Chao Jiang & Ira G. Kawaller & Paul D. Koch, 2016. "Designing A Proper Hedge: Theory Versus Practice," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 123-144, June.

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