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Hedging with Futures: A Second Generation Review

Hasan, Mohammad S, Gausden, Robert (2020) Hedging with Futures: A Second Generation Review. In: World Finance Conference 2020: E-Proceedings. . p. 64. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:83959)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
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Abstract

The first generation research on futures hedging covered various theoretical approaches to the determination of optimal future hedge ratios, such as minimum variance, mean-variance, expected utility, mean-extended-Gini coefficient and semi variance. It also highlighted alternative econometric methods of estimating hedge ratios ranging from simple ordinary least squares to different variants of sophisticated GARCH model. In this second-generation survey, we expand our horizon and illustrate how the existing literature is handling critical issues including structural breaks, information asymmetries, basis convergence, and maturity effects, cross and crack hedges, bid-ask spread and mispricing, multi-period hedging and selective hedging. It also surveys recent developments in estimation techniques that have greatly contributed to the conventional and dynamic hedging literature.

Item Type: Conference or workshop item (Paper)
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Mohammad Hasan
Date Deposited: 06 Nov 2020 11:36 UTC
Last Modified: 06 Oct 2021 15:42 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/83959 (The current URI for this page, for reference purposes)
Hasan, Mohammad S: https://orcid.org/0000-0002-2453-6868
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