Multiperiod optimal hedging ratios: methodological aspects and application to a wheat market

Gianluca Stefani and Marco Tiberti

European Review of Agricultural Economics, 2016, vol. 43, issue 3, 503-531

Abstract: This work deals with issues relating to multiperiod hedging ratios (MHRs). First, we derive an analytical formula for the MHR starting from the triangular representation of a cointegrated system. Second, using both overlapping and non-overlapping price changes, we investigate the properties of OLS MHR. Third, we resort to simulated data to investigate the performance of MHR estimators. Unlike previous studies, we do not use real data whose data generating process is unknown; instead we run a Monte Carlo exercise to investigate estimators and compare them with theoretical measures. Finally, we apply our approach to real data for a hedging related to soft wheat.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1093/erae/jbv022 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Multiperiod optimal hedging ratios: Methodological aspects and application to wheat markets (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:erevae:v:43:y:2016:i:3:p:503-531.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

European Review of Agricultural Economics is currently edited by Timothy Richards, Salvatore Di Falco, Céline Nauges and Vincenzina Caputo

More articles in European Review of Agricultural Economics from Oxford University Press and the European Agricultural and Applied Economics Publications Foundation Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().