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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. 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.
    2. 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.
    3. 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).
    4. 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.
    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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