Browsing School of Business by Subject "Hedging (Finance)--Evaluation"

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Browsing School of Business by Subject "Hedging (Finance)--Evaluation"

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  • Cotter, John ; Hanly, Jim (University College Dublin. School of Business. Centre for Financial Markets, 2005)
    We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. ...
  • Cotter, John ; Hanly, Jim (University College Dublin. School of Business. Centre for Financial Markets, 2007)
    We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. ...
  • Cotter, John ; Hanly, Jim (Taylor & Francis, 2012-01-31)
    We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics, for example, Value at Risk, to compare the hedging effectiveness of short and long hedgers. ...
  • Cotter, John ; Hanly, Jim (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 ...
  • Hanly, Jim ; Cotter, John (Euromoney Institutional Investor PLC., 2006-06)
  • Cotter, John ; Hanly, Jim (University College Dublin. School of Business. Centre for Financial Markets, 2005-07-24)
    Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. ...

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