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. ...
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. ...