Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258736 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 1 [Article No.:] 12 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
This paper proposes new dynamic conditional futures hedge ratios and compares their hedging performances along with those of common benchmark hedge ratios across three broad asset classes. Three of the hedge ratios are based on the upward-biased carry cost rate hedge ratio, where each is augmented in a different bias-mitigating way. The carry cost rate hedge ratio augmented with the dynamic conditional correlation between spot and futures price changes generally: (1) provides the highest hedging effectiveness and (2) has a statistically significantly higher hedging effectiveness than the other hedge ratios across assets, sub-periods, and rolling window sizes.
Subjects: 
carry cost rate
hedge ratio
conditional hedge ratio
bias adjustments
JEL: 
G01
G11
G12
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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