Time-varying hedge ratio estimation for selected agricultural commodities and products

The use of autoregressive conditional heteroskedasticity (ARCH) models to estimate time-varying hedge ratios suggests that conventional procedures may not provide the optimal hedge ratios. However, the initial results using ARCH models raise several questions regarding time-varying hedge ratios. First, what is the sensitivity of time-varying hedge ratios to alternative specifications of time-varying variances and covariances, and what tests can be used to select the most appropriate model? Second, what is the degree to which the variance of returns is reduced with alternative procedures? Third, do alternative approaches to capture the time-varying nature of hedge ratios exist?

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Agricultural Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Roh, Jae Sun

Contributors dc:contributor

• Garcia, Philip

• Economics, Agricultural
• Economics, Theory

Statement dc:rights

• Copyright 1992 Roh, Jae Sun

Language dc:language

eng

Identifier

AAI9305668
(UMI)AAI9305668

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/20500