Optimal Futures Hedging Decisions in Fractionally Cointegrated Markets

Piotr Humeńczuk ()
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Piotr Humeńczuk: Wrocław University of Economics, Poland

Chapter 9 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 155-168 from University of Lodz

Abstract: Chapter 9 presents futures contracts used in risk management. The study examines the performance of different hedge ratios based on econometric models of foreign exchange market. Different specifications are tested. Cointegration between spot and future EUR/PLN exchange has been found. It has been also found that error correction term can be described by autoregressive fractionally integrated moving average process (ARFIMA).

Keywords: Hedging; Futures contracts; Financial risk management; Vector Autoregression Model (VAR) (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2006:n:02:ch:09:mon

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