Generalized Hedge Ratio Estimation with an Unknown Model
| dc.creator | Dorfman, Jeffrey H. | |
| dc.creator | Sanders, Dwight R. | |
| dc.date | 2017-04-01T17:57:21Z | |
| dc.date.accessioned | 2026-07-09T03:27:07Z | |
| dc.description | 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. | |
| dc.identifier | doi:10.22004/ag.econ.19268 | |
| dc.identifier | https://ageconsearch.umn.edu/record/19268/files/sp050001.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/19268 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/532798 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/19268 | |
| dc.title | Generalized Hedge Ratio Estimation with an Unknown Model | |
| dc.type | Text |