The limits to minimum-variance hedging

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The limits to minimum-variance hedging

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dc.contributor.author Harris, Richard D. F. en_US
dc.contributor.author Shen, Jian en_US
dc.contributor.author Stoja, Evarist en_US
dc.date.accessioned 2012-02-23T11:36:37Z en_US
dc.date.accessioned 2013-03-20T11:12:40Z
dc.date.issued 2010-06 en_US
dc.description.abstract In this paper, we compare the estimated minimum-variance hedge ratios from a range of conditional hedging models with the 'realized' minimum variance hedge ratio constructed using intraday data. We show that the reduction in conditionally hedged portfolio variance falls far short of the ex post maximal reduction in variance obtained using the realized minimum variance hedge ratio. While this is partly due to systematic bias, correcting for this bias does little to improve hedging effectiveness. The poor performance of conditional hedging models is therefore more likely to be attributable to the unpredictability of the integrated hedge ratio. en_GB
dc.identifier.citation Vol. 37, Issue 5-6, pp. 737 - 761 en_GB
dc.identifier.doi 10.1111/j.1468-5957.2009.02170.x en_US
dc.identifier.uri http://hdl.handle.net/10036/3433 en_US
dc.language.iso en en_GB
dc.publisher Wiley-Blackwell en_GB
dc.relation.url http://www.xfi.ex.ac.uk/workingpapers/0712.pdf en_GB
dc.subject minimum-variance hedge ratio en_GB
dc.subject realized beta en_GB
dc.subject multivariate conditional volatility models en_GB
dc.subject bias correction en_GB
dc.title The limits to minimum-variance hedging en_GB
dc.type Article en_GB
dc.date.available 2012-02-23T11:36:37Z en_US
dc.date.available 2013-03-20T11:12:40Z
dc.identifier.issn 0306-686X en_US
exeter.contacts.depositing-owner-email Harris, Richard <R.D.F.Harris@exeter.ac.uk> en_US
exeter.contacts.impersonator-email Overy, Patrick <P.C.Overy@exeter.ac.uk> en_US
exeter.contacts.owner-email Shen, Jian <J.Shen@exeter.ac.uk> en_US
exeter.contacts.owner-email Harris, Richard <R.D.F.Harris@exeter.ac.uk> en_US
dc.description Authors' draft version issued as working paper dated 2007. Final version published in Journal of Business Finance & Accounting. Available online at http://onlinelibrary.wiley.com/ en_GB
dc.identifier.journal Journal of Business Finance & Accounting en_GB
pubs.organisational-data /Symplectic Joint Venture en_US
pubs.organisational-data /Symplectic Joint Venture/Exeter en_US
pubs.organisational-data /Symplectic Joint Venture/Exeter/All Exeter Users en_US
pubs.organisational-data /Symplectic Joint Venture/Exeter/University of Exeter Business School en_US
pubs.organisational-data /Symplectic Joint Venture/Exeter/University of Exeter Business School/All Academic Staff (UEBS) en_US
pubs.organisational-data /Symplectic Joint Venture/Exeter/University of Exeter Business School/All Researchers (R+T&R) (UEBS) en_US
pubs.organisational-data /Symplectic Joint Venture/Exeter/University of Exeter Business School/Centre for Finance & Investment (XFI) en_US
pubs.organisational-data /Symplectic Joint Venture/Exeter/University of Exeter Business School/Teaching & Research (T&R) (UEBS) en_US


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