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Futures hedge ratios: a review

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Cited by:

  1. Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," Econometric Institute Research Papers EI 2010-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Jui-Cheng Hung & Chien-Liang Chiu & Ming-Chih Lee, 2006. "Hedging with zero-value at risk hedge ratio," Applied Financial Economics, Taylor & Francis Journals, vol. 16(3), pages 259-269.
  3. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2010. "Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets," Energy Economics, Elsevier, vol. 32(6), pages 1445-1455, November.
  4. Mao-wei Hung & Cheng-few Lee & Leh-chyan So, 2005. "Hedging with Foreign-Listed Single Stock Futures," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting New Series, chapter 8, pages 129-151, World Scientific Publishing Co. Pte. Ltd..
  5. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
  6. Białkowski, Jędrzej & Bohl, Martin T. & Perera, Devmali, 2023. "Commodity futures hedge ratios: A meta-analysis," Journal of Commodity Markets, Elsevier, vol. 30(C).
  7. Cao, Min & Conlon, Thomas, 2023. "Composite jet fuel cross-hedging," Journal of Commodity Markets, Elsevier, vol. 30(C).
  8. Carlotta Penone & Elisa Giampietri & Samuele Trestini, 2021. "Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector," Risks, MDPI, vol. 9(12), pages 1-14, December.
  9. Wenming Shi & Kevin X. Li & Zhongzhi Yang & Ganggang Wang, 2017. "Time-varying copula models in the shipping derivatives market," Empirical Economics, Springer, vol. 53(3), pages 1039-1058, November.
  10. Donald Lien & Keshab Shrestha, 2005. "Estimating the optimal hedge ratio with focus information criterion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(10), pages 1011-1024, October.
  11. Jean‐Francois Carpantier & Besik Samkharadze, 2013. "The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(9), pages 868-888, September.
  12. Conlon, Thomas & Cotter, John, 2013. "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, vol. 36(C), pages 371-379.
  13. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  14. Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022. "On the stationarity of futures hedge ratios," Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
  15. Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2018. "Markov switching GARCH models for Bayesian hedging on energy futures markets," Energy Economics, Elsevier, vol. 70(C), pages 545-562.
  16. Wan-Yi Chiu, 2021. "Mean-variance hedging in the presence of estimation risk," Review of Derivatives Research, Springer, vol. 24(3), pages 221-241, October.
  17. Zhiyuan Pan & Xianchao Sun, 2014. "Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 107-121.
  18. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
  19. Chen, Yi-Ting & Ho, Keng-Yu & Tzeng, Larry Y., 2014. "Riskiness-minimizing spot-futures hedge ratio," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 154-164.
  20. Pan, Zhiyuan & Xiao, Dongli & Dong, Qingma & Liu, Li, 2022. "Structural breaks, macroeconomic fundamentals and cross hedge ratio," Finance Research Letters, Elsevier, vol. 47(PA).
  21. Bi, Hongwei & Huang, Rachel J. & Tzeng, Larry Y. & Zhu, Wei, 2019. "Higher-order Omega: A performance index with a decision-theoretic foundation," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 43-57.
  22. Hilal, Sawsan & Poon, Ser-Huang & Tawn, Jonathan, 2011. "Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2374-2387, September.
  23. Massimiliano Barbi & Silvia Romagnoli, 2016. "Optimal hedge ratio under a subjective re-weighting of the original measure," Applied Economics, Taylor & Francis Journals, vol. 48(14), pages 1271-1280, March.
  24. Capitani, Daniel Henrique Dario & Mattos, Fabio, 2012. "Risk measurement in commodities markets: How much price risk do agricultural producers really face?," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124761, Agricultural and Applied Economics Association.
  25. Abdulnasser Hatemi-J & Eduardo Roca, 2006. "Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach," Applied Economics Letters, Taylor & Francis Journals, vol. 13(5), pages 293-299.
  26. Buhl, Hans Ulrich & Strauß, Sofie & Wiesent, Julia, 2011. "The impact of commodity price risk management on the profits of a company," Resources Policy, Elsevier, vol. 36(4), pages 346-353.
  27. Zhou, Jian, 2016. "Hedging performance of REIT index futures: A comparison of alternative hedge ratio estimation methods," Economic Modelling, Elsevier, vol. 52(PB), pages 690-698.
  28. Carol Alexander & Andreza Barbosa, 2006. "Minimum Variance Hedging and Stock Index Market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2006-04, Henley Business School, University of Reading, revised Sep 2006.
  29. Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2019. "What is a better cross-hedge for energy: Equities or other commodities?," Global Finance Journal, Elsevier, vol. 42(C).
  30. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
  31. 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.
  32. Woo, Chi-Keung & Horowitz, Ira & Olson, Arne & Horii, Brian & Baskette, Carmen, 2006. "Efficient frontiers for electricity procurement by an LDC with multiple purchase options," Omega, Elsevier, vol. 34(1), pages 70-80, January.
  33. Elizabeth A. Maharaj & Imad Moosa & Jonathan Dark & Param Silvapulle, 2008. "Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 213-230, December.
  34. M. Frömmel & M. Luetje, 2014. "Are exporting firms always a good hedge against currency risk? Evidence from Central and Eastern European Countries," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/873, Ghent University, Faculty of Economics and Business Administration.
  35. Raimbourg, Philippe & Zimmermann, Paul, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," European Journal of Operational Research, Elsevier, vol. 298(1), pages 351-367.
  36. Liao Wang & Johannes Wissel, 2013. "Mean-variance hedging with oil futures," Finance and Stochastics, Springer, vol. 17(4), pages 641-683, October.
  37. Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016. "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 239-256.
  38. Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," JRFM, MDPI, vol. 4(1), pages 1-29, December.
  39. Peter G. Dunne, 2019. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," JRFM, MDPI, vol. 12(2), pages 1-25, April.
  40. Viviana Fernandez, 2008. "Multi‐period hedge ratios for a multi‐asset portfolio when accounting for returns co‐movement," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(2), pages 182-207, February.
  41. Ismael Pérez-Franco & Esteban Otto Thomasz & Gonzalo Rondinone & Agustín García-García, 2022. "Feed price risk management for sheep production in Spain: a composite future cross-hedging strategy," Risk Management, Palgrave Macmillan, vol. 24(2), pages 137-163, June.
  42. Mattos, Fabio & Garcia, Philip & Nelson, Carl, 2008. "Relaxing standard hedging assumptions in the presence of downside risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(1), pages 78-93, February.
  43. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
  44. George E. Halkos & Apostolos S. Tsirivis, 2019. "Energy Commodities: A Review of Optimal Hedging Strategies," Energies, MDPI, vol. 12(20), pages 1-19, October.
  45. Su, Kuangxi & Yao, Yinhong & Zheng, Chengli & Xie, Wenzhao, 2023. "A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 35-50.
  46. Frestad, Dennis, 2012. "Liquidity and dirty hedging in the Nordic electricity market," Energy Economics, Elsevier, vol. 34(5), pages 1341-1355.
  47. Wang, Gang-Jin & Xie, Chi & He, Ling-Yun & Chen, Shou, 2014. "Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 70-79.
  48. repec:ebl:ecbull:v:7:y:2006:i:1:p:1-8 is not listed on IDEAS
  49. Bina, Justin D. & Schroeder, Ted C. & Tonsor, Glynn T., 2022. "Conditional feeder cattle hedge ratios: Cross hedging with fluctuating corn prices," Journal of Commodity Markets, Elsevier, vol. 26(C).
  50. Woo, C.K. & Olson, A. & Horowitz, I., 2006. "Market efficiency, cross hedging and price forecasts: California's natural-gas markets," Energy, Elsevier, vol. 31(8), pages 1290-1304.
  51. Gianluca Stefani & Marco Tiberti, 2013. "Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market," Working Papers - Economics wp2013_29.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  52. Fu, Junhui, 2014. "Multi-objective hedging model with the third central moment and the capital budget," Economic Modelling, Elsevier, vol. 36(C), pages 213-219.
  53. 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.
  54. Zheng, Chengli & Su, Kuangxi & Yao, Yinhong, 2021. "Hedging futures performance with denoising and noise-assisted strategies," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  55. Bessler, Wolfgang & Wolff, Dominik, 2014. "Hedging European government bond portfolios during the recent sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 379-399.
  56. Thomas Conlon & John Cotter & Ramazan Gençay, 2016. "Commodity futures hedging, risk aversion and the hedging horizon," The European Journal of Finance, Taylor & Francis Journals, vol. 22(15), pages 1534-1560, December.
  57. Sanders, Daniel J. & Baker, Timothy G., 2012. "Hedgers’ Participation in Futures Markets Under Varying Price Regimes," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124872, Agricultural and Applied Economics Association.
  58. Wang, Shuang & Wallace, Stein W. & Lu, Jing & Gu, Yewen, 2020. "Handling financial risks in crude oil imports: Taking into account crude oil prices as well as country and transportation risks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 133(C).
  59. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
  60. Woo, C.K. & Moore, J. & Schneiderman, B. & Ho, T. & Olson, A. & Alagappan, L. & Chawla, K. & Toyama, N. & Zarnikau, J., 2016. "Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets," Energy Policy, Elsevier, vol. 92(C), pages 299-312.
  61. Liu Hong & Yongjia Li & Kangzhen Xie & Claire J. Yan, 2020. "On the Market Timing of Hedging: Evidence from U.S. Oil and Gas Producers," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 297-334, January.
  62. Ronald D. Ripple & Imad A. Moosa, 2007. "Hedging effectiveness and futures contract maturity: the case of NYMEX crude oil futures," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 683-689.
  63. Ibrahim D. Raheem & Oluyele Akinkugbe & Agboola H. Yusuf & Mahdi Ghaemi Asl, 2023. "Hedging strategies among financial markets: the case of green and brown assets," Empirical Economics, Springer, vol. 65(2), pages 831-873, August.
  64. Kunlapath Sukcharoen & Hankyeung Choi & David J. Leatham, 2015. "Optimal gasoline hedging strategies using futures contracts and exchange-traded funds," Applied Economics, Taylor & Francis Journals, vol. 47(32), pages 3482-3498, July.
  65. Gilbert Fridgen & Christian König & Philipp Mette & Andreas Rathgeber, 2013. "Die Absicherung von Rohstoffrisiken — Eine Disziplinen über greifende Herausforderung für Unternehmen," Schmalenbach Journal of Business Research, Springer, vol. 65(2), pages 167-190, March.
  66. Donald Lien & Keshab Shrestha & Jing Wu, 2016. "Quantile Estimation of Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 194-214, February.
  67. Chen, Xiangyu & Tongurai, Jittima, 2021. "Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market," Global Finance Journal, Elsevier, vol. 49(C).
  68. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
  69. Lin, Xiaoqiang & Chen, Qiang & Tang, Zhenpeng, 2014. "Dynamic hedging strategy in incomplete market: Evidence from Shanghai fuel oil futures market," Economic Modelling, Elsevier, vol. 40(C), pages 81-90.
  70. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
  71. Bessler, Wolfgang & Conlon, Thomas & Huan, Xing, 2019. "Does corporate hedging enhance shareholder value? A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 222-232.
  72. Benoît Sévi, 2006. "Ederington's ratio with production flexibility," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-8.
  73. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
  74. Lim, Siew Hoon & Turner, Peter A., 2016. "Airline Fuel Hedging: Do Hedge Horizon and Contract Maturity Matter?," Journal of the Transportation Research Forum, Transportation Research Forum, vol. 55(01), April.
  75. Hachicha, Néjib & Ben Amar, Amine & Ben Slimane, Ikrame & Bellalah, Makram & Prigent, Jean-Luc, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," International Review of Financial Analysis, Elsevier, vol. 83(C).
  76. Асатуров К.Г. & Теплова Т.В., 2014. "Построение Коэффициентов Хеджирования Для Высоколиквидных Акций Российского Рынка На Основе Моделей Класса Garch," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(1), pages 37-54, январь.
  77. Dark, Jonathan, 2012. "Will tighter futures price limits decrease hedge effectiveness?," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2717-2728.
  78. Jahangir Sultan & Antonios K. Alexandridis & Mohammad Hasan & Xuxi Guo, 2019. "Hedging performance of multiscale hedge ratios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1613-1632, December.
  79. Hung, Jui-Cheng, 2015. "Evaluation of realized multi-power variations in minimum variance hedging," Economic Modelling, Elsevier, vol. 51(C), pages 672-679.
  80. Jędrzej Białkowski & Martin T. Bohl & Devmali Perera, 2022. "Commodity Futures Hedge Ratios: A Meta-Analysis," Working Papers in Economics 22/12, University of Canterbury, Department of Economics and Finance.
  81. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
  82. Pan, Zhiyuan & Fu, Ziqian & Wang, Yudong & Dong, Qingma, 2024. "Exploiting the sentiments: A simple approach for improving cross hedging effectiveness," Energy Economics, Elsevier, vol. 134(C).
  83. Peter Albrecht, 2011. "Zur Theorie des Value at Risk-minimalen Hedges," Schmalenbach Journal of Business Research, Springer, vol. 63(1), pages 2-18, February.
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