Generalized Hedge Ratio Estimation With An Unknown Model
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- Dorfman, Jeffrey H. & Sanders, Dwight R., 2005. "Generalized Hedge Ratio Estimation with an Unknown Model," 2005 Annual meeting, July 24-27, Providence, RI 19268, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
References listed on IDEAS
- Sergio H. Lence & Dermot J. Hayes, 1993. "Empirical Minimum Variance Hedge, The," Center for Agricultural and Rural Development (CARD) Publications 93-wp109, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Myers, Robert J. & Thompson, Stanley R., 1988. "Generalized Optimal Hedge Ratio Estimation," Staff Paper Series 200967, Michigan State University, Department of Agricultural, Food, and Resource Economics.
- Dorfman, J.H. & Lastrapes, W.D., 1993. "The Dynamic Responses of Crop and Livestock Prices to Money Supply Shocks: A Bayesian Analysis using Long Run Restrictions," Papers 429, Georgia - College of Business Administration, Department of Economics.
- B. Wade Brorsen & Darren W. Buck & Stephen R. Koontz, 1998. "Hedging hard red winter wheat: Kansas City versus Chicago," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(4), pages 449-466, June.
- Jeffrey H. Dorfman & William D. Lastrapes, 1996. "The Dynamic Responses of Crop and Livestock Prices to Money-Supply Shocks: A Bayesian Analysis Using Long-Run Identifying Restrictions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(3), pages 530-541.
- Anderson, Ronald W & Danthine, Jean-Pierre, 1981. "Cross Hedging," Journal of Political Economy, University of Chicago Press, vol. 89(6), pages 1182-1196, December.
- Sergio H. Lence & Dermot J. Hayes, 1994. "The Empirical Minimum-Variance Hedge," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(1), pages 94-104.
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- Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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