Optimal Hedging with Higher Moments
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References listed on IDEAS
- Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
- Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 55-81, March.
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- Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
- Kim, Myeong Jun & Park, Sung Y., 2016. "Optimal conditional hedge ratio: A simple shrinkage estimation approach," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 139-156.
- repec:aen:journl:ej38-3-hanly is not listed on IDEAS
- Berghöfer, Britta & Lucey, Brian, 2014. "Fuel hedging, operational hedging and risk exposure — Evidence from the global airline industry," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 124-139.
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- Brian Lucey & Britta Berghöfer, 2013. "Fuel Hedging, Operational Hedging and Risk Exposure– Evidence from the Global Airline Industry," The Institute for International Integration Studies Discussion Paper Series iiisdp433, IIIS.
- Stutzer, Michael, 2013. "Optimal hedging via large deviation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(15), pages 3177-3182.
- Cotter, John & Hanly, Jim, 2015. "Performance of utility based hedges," Energy Economics, Elsevier, vol. 49(C), pages 718-726.
More about this item
KeywordsUtility-based hedging; OLS; Non-normality; risk; commodity futures; skewness; kurtosis;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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