Browsing School of Business by Subject "Hedging performance"

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Hedging effectiveness under conditions of asymmetry

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. ...
Re-evaluating hedging performance

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. ...
Re-evaluating hedging performance for asymmetry : the case of crude oil

Cotter, John ; Hanly, Jim (Emerald, 2012)

We examine whether the hedging effectiveness of crude oil futures is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of both short and long hedgers. ...