文章基本信息

标题：Multiperiod optimal hedging ratios: Methodological aspects and application to wheat markets
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作者：Gianluca, Stefani ; Tiberti, Marco
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2014
出版社：Food Distribution Research Society
摘要：This work deals with methodological and empirical issues related to multiperiod optimal hedging OLS estimators. We propose an analytical formula for the multiperiod minimum variance hedging ratio starting from the triangular representation of a cointegrated system DGP. Since estimating the hedge ratio matching the frequency of data with the hedging horizon leads to a sample size reduction problem, we carry out a Monte Carlo study to investigate the pattern and hedging efficiency of OLS hedging ratio based on overlapping vs non-overlapping observations exploring a range of hedging horizons and sample sizes. Finally, we applied our approach to real data for a cross hedging related to soft wheat.