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An empirical evaluation of the extended mean‐gini coefficient for futures hedging

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  • Robert W. Kolb
  • John Okunev

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  • Robert W. Kolb & John Okunev, 1992. "An empirical evaluation of the extended mean‐gini coefficient for futures hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(2), pages 177-186, April.
    • Handle: RePEc:wly:jfutmk:v:12:y:1992:i:2:p:177-186
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    Cited by:

    1. Jui-Cheng Hung & Chien-Liang Chiu & Ming-Chih Lee, 2006. "Hedging with zero-value at risk hedge ratio," Applied Financial Economics, Taylor & Francis Journals, vol. 16(3), pages 259-269.
    2. Darren Butterworth & Phil Holmes, 2005. "The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach: Evidence for the FTSE 100 and FTSE Mid250 Contracts," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 131-160, September.
    3. Białkowski, Jędrzej & Bohl, Martin T. & Perera, Devmali, 2023. "Commodity futures hedge ratios: A meta-analysis," Journal of Commodity Markets, Elsevier, vol. 30(C).
    4. Cifarelli, Giulio & Paladino, Giovanna, 2015. "A dynamic model of hedging and speculation in the commodity futures markets," Journal of Financial Markets, Elsevier, vol. 25(C), pages 1-15.
    5. Philippe Boveroux & Albert Minguet, 1999. "Selecting hedge ratio maximizing utility or adjusting portfolio's beta," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 423-432.
    6. Babak Eftekhari, 1998. "Lower partial moment hedge ratios," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 645-652.
    7. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
    8. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
    9. Shashi Gupta & Himanshu Choudhary & D.R. Agarwal, 2017. "Hedging Efficiency of Indian Commodity Futures," Paradigm, , vol. 21(1), pages 1-20, June.
    10. Ahmad Bash & Abdullah M. Al-Awadhi & Fouad Jamaani, 2016. "Measuring the Hedge Ratio: A GCC Perspective," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 1-1, July.
    11. Čech, František & Zítek, Michal, 2022. "Marine fuel hedging under the sulfur cap regulations," Energy Economics, Elsevier, vol. 113(C).
    12. Jędrzej Białkowski & Martin T. Bohl & Devmali Perera, 2022. "Commodity Futures Hedge Ratios: A Meta-Analysis," Working Papers in Economics 22/12, University of Canterbury, Department of Economics and Finance.
    13. George E. Halkos & Apostolos S. Tsirivis, 2019. "Energy Commodities: A Review of Optimal Hedging Strategies," Energies, MDPI, vol. 12(20), pages 1-19, October.

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