Generalized Hedge Ratio Estimation with an Unknown Model

Jeffrey Dorfman () and Dwight R. Sanders

No 19268, 2005 Annual meeting, July 24-27, Providence, RI from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Myers and Thompson (1989) noted that the model specification could have a large impact on the hedge ratio estimated. A huge literature exists on estimating hedge ratios, but the literature is lacking a formal treatment of model specification uncertainty. This research accomplishes that task by taking a Bayesian approach to hedge ratio estimation, where specification uncertainty is explicitly modeled. The methodology is applied to data on hedging of corn and soybeans and on cross-hedging of corn oil using soybean oil futures. Results show the potential benefits and insights gained from such an approach.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 34
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ageconsearch.umn.edu/record/19268/files/sp050001.pdf (application/pdf)

Related works:
Working Paper: GENERALIZED HEDGE RATIO ESTIMATION WITH AN UNKNOWN MODEL (2004)
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:ags:aaea05:19268

DOI: 10.22004/ag.econ.19268

Access Statistics for this paper

More papers in 2005 Annual meeting, July 24-27, Providence, RI from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().