Browsing Centre for Financial Markets Working Papers by Author "Hanly, Jim"

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Browsing Centre for Financial Markets Working Papers by Author "Hanly, Jim"

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  • 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 (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 ...
  • 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. ...
  • Cotter, John ; Hanly, Jim (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 ...

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