A Bayesian Implementation of the Standard Optimal Hedging Model: Parameter Estimation Risk and Subjective Views
| dc.creator | Shi, Wei | |
| dc.creator | Irwin, Scott H. | |
| dc.date | 2017-04-01T19:40:33Z | |
| dc.date.accessioned | 2026-07-09T03:26:45Z | |
| dc.description | We develop a Bayesian implementation of the standard optimal hedging model to analyze the impact of hedgers' subjective views on their hedging behavior. The results show the subjective views have a substantial impact on hedgers' optimal positions, explaining the large cross-sectional and time series variation of hedging positions in practice. | |
| dc.identifier | doi:10.22004/ag.econ.19155 | |
| dc.identifier | https://ageconsearch.umn.edu/record/19155/files/sp05sh06.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/19155 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/532685 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/19155 | |
| dc.title | A Bayesian Implementation of the Standard Optimal Hedging Model: Parameter Estimation Risk and Subjective Views | |
| dc.type | Text |