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Optimal Hedge Ratio Estimation and Effectiveness Using ARCD

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  • Eleftheria Kostika
  • Raphael N. Markellos

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Suggested Citation

  • Eleftheria Kostika & Raphael N. Markellos, 2013. "Optimal Hedge Ratio Estimation and Effectiveness Using ARCD," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(1), pages 41-50, January.
    • Handle: RePEc:wly:jforec:v:32:y:2013:i:1:p:41-50
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    Cited by:

    1. Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
    2. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.
    3. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
    4. Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
    5. Trung H. Le, 2024. "Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 402-414, March.

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