This work deals with issues relating to multiperiod hedging ratios (MHRs). First, we derive an analytical formula for the MHR starting from the triangular representation of a cointegrated system. Second, using both overlapping and non-overlapping price changes, we investigate the properties of OLS MHR. Third, we resort to simulated data to investigate the performance of MHR estimators. Unlike previous studies, we do not use real data whose data generating process is unknown; instead we run a Monte Carlo exercise to investigate estimators and compare them with theoretical measures. Finally, we apply our approach to real data for a hedging related to soft wheat.
Multiperiod optimal hedging ratios: Methodological aspects and application to a wheat market / Stefani, Gianluca; Tiberti, Marco. - In: EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS. - ISSN 0165-1587. - STAMPA. - 43:(2016), pp. 503-531. [10.1093/erae/jbv022]
Multiperiod optimal hedging ratios: Methodological aspects and application to a wheat market
STEFANI, GIANLUCA;TIBERTI, MARCO
2016
Abstract
This work deals with issues relating to multiperiod hedging ratios (MHRs). First, we derive an analytical formula for the MHR starting from the triangular representation of a cointegrated system. Second, using both overlapping and non-overlapping price changes, we investigate the properties of OLS MHR. Third, we resort to simulated data to investigate the performance of MHR estimators. Unlike previous studies, we do not use real data whose data generating process is unknown; instead we run a Monte Carlo exercise to investigate estimators and compare them with theoretical measures. Finally, we apply our approach to real data for a hedging related to soft wheat.File | Dimensione | Formato | |
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