Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2006 | nr 2 Financial markets : principles of modeling forecasting and decision-making | 155--168
Tytuł artykułu

Optimal Futures Hedging Decisions in Fractionally Cointegrated Markets

Treść / Zawartość
Warianty tytułu
Języki publikacji
The aim of the chapter is to find a method of obtaining an optimal hedge ratio for utility maximizing investor, who wants to use futures hedging as a hedging vehicle. Different methods of obtaining variance minimizing hedge ratio for risk averse investors are presented. It incorporates nonstationarity of financial time-series, long-run equilibrium relationship and short-run dynamics. Additionally, long memory component was considered in analysis. The study examines different models, which are vector autoregression (VAR), error correction model (ECM) and fractionally error correction model (FIEC). Time series of EUR/PLN spot and futures are considered. The long memory component was found in the basis term and it is expected that FIEC model might better describe the relationship between spot and futures time series and should give better estimates of the hedge ratios. (fragment of text)
  • Wrocław University of Economics, Poland
  • Alexander C. O. (1995), "Common Volatility in the Foreign Exchange Market", Applied Financial Economics, 5(1).
  • Bera A. K., Garcia P., Roh J. S. (1997), "Estimation of Time-Varying Hedging Ratios for Corn and Soybeans: BGARCH and Random Coefficients Approaches", Sankhya, B, 59, 346-368.
  • Booth G., Tse Y. (1995), "Long Memory in Interest Rate Futures Markets: A Fractional Cointegration Analysis", Journal of Futures Markets, 15(5).
  • Cheung Y. W. (1993), "Long Memory in Foreign-Exchange Rates", Journal of Business and Economic Statistics, 11, 93-101.
  • Cheung Y. W., Lai K. S. (1993), "A Fractional Cointegration Analysis of Purchasing Power Parity", Journal of Business and Economic Statistics, 1, 297-305.
  • Duan J.-C., Pliska S. (1998), Option Valuation with Cointegrated Asset Prices, mimeo.
  • Engle R. F., Granger C. W. J. (1987), "Co-Integration and Error Correction: Representation, Estimation, and Testing", Econometrica, 55(2), 251-76.
  • Gagnon L., Lypny G. (1995), "Hedging Short-Term Interest Risk under Time-Varying Distributions", Journal of Futures Markets, 15, 767-783.
  • Granger C. (1981), "Some Properties of Time Series Data and Their Use in Econometric Model Specyfication", Journal of Econometrics, 16, 121-130.
  • Granger C., Joyeux R. (1980), "An Introduction to Long Memory Time Series Models and Fractional Differencing", Journal of Time Series Analysis, 1(1), 15-29.
  • Li W. K., McLeod A. I. (1986), "Fractional time Series modeling", Biometrica, 73, 285-302.
  • Lien D., Tse Y. K. (1999), "Fractional Cointegration and Futures Hedging", Journal of Futures Markets, 19, 457-474.
  • Mackinnon J. G. (1994), "Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests", Journal of Business Economics and Statistics, 12(2), April, 167-176.
  • Maddala G. S., Kim I.-M. (1998), Unit Roots, Cointegration and Structural Change, New York: Cambridge University Press.
  • Moix P. (2001), The Measurement of Market Risk, Berlin: Springer-Verlag.
  • Sowell F. (1992), "Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models", Journal of Econometrics, 53, 165-188.
  • Taylor S. J. (1986), Modeling Financial Time Series, New York: Wiley & Sons.
  • Wahab M., Lashgari M. (1993), "Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach", Journal of Futures Markets, 13, 711-742.
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.