RSS
- You are here:
- Research Repository UCD
- >
- Search
JavaScript is disabled for your browser. Some features of this site may not work without it.
Search
Search Results
-
(University College Dublin Geary Institute, 2012-08)In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. Previous studies have shown that minimum-variance hedging effectiveness improves for longer horizons using variance ...
-
(UCD Geary Institute, 2012)This paper examines the impact of investor preferences on the optimal futures hedging strategy and associated hedging performance. Explicit risk aversion levels are often overlooked in hedging analysis. Applying a ...
-
(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-08)This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over ...
-
(Wiley-Blackwell, 2011-03-07)This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance ...
-
(Financial Services Institute of Australasia (Finsia), 2006)
-
(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-08)Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate ...
-
(Butterworth-Heinemann, 2006)
-
(Irish Bankers' Federation, 2003)Unlike mutual and pension funds, which are heavily regulated in most juristrictions, hedge funds are largely unregulated. Because they are not required to report to regulators and to the public, data on hedge fund performance ...
-
(2009)Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a ...
-
(University College Dublin. School of Business. Centre for Financial Markets, 2004)We examine the performance and diversification potential of 332 funds of hedge funds (FOHFs) for the period from January 1990 to May 2003. Consistent with prior studies, we find that FOHFs appear to underperform the hedge ...