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Estimation bias of futures hedging performance: A note
Author(s) -
Lien Donald
Publication year - 2006
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20222
Subject(s) - futures contract , econometrics , economics , estimation , hedge , statistics , mathematics , financial economics , ecology , management , biology
The conventional approach applies an estimated optimal hedge ratio to evaluate and compare hedging performance. This note shows that the approach produces a biased result. Moreover, it tends to underestimate the true hedging performance. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:835–841, 2006