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

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Show simple item record Cotter, John Hanly, Jim 2012-01-31T16:52:12Z 2012-01-31T16:52:12Z 2012
dc.description.abstract 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. The hedging effectiveness metrics we use are based on Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVaR). Comparisons are applied to a number of hedging strategies including OLS, and both Symmetric and Asymmetric GARCH models. We find that OLS provides consistently better performance across different measures of hedging effectiveness as compared with GARCH models, irrespective of the characteristics of the underlying distribution. en
dc.description.sponsorship Science Foundation Ireland en
dc.format.extent 464487 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Emerald en
dc.relation.ispartof Batten, J. and Wagner, N. (eds.). Derivative Securities Pricing and Modelling en
dc.relation.requires Business Research Collection en
dc.subject Hedging performance en
dc.subject Asymmetry en
dc.subject Lower partial moments en
dc.subject Value at risk en
dc.subject Conditional value at risk en
dc.subject.classification G10 en
dc.subject.classification G12 en
dc.subject.classification G15 en
dc.subject.lcsh Hedging (Finance) en
dc.subject.lcsh Futures en
dc.subject.lcsh Risk--Econometric models en
dc.title Re-evaluating hedging performance for asymmetry : the case of crude oil en
dc.type Book Chapter en
dc.internal.availability Full text available en
dc.status Peer reviewed en
dc.identifier.doi 10.1108/S1569-3759(2012)0000094003
dc.neeo.contributor Cotter|John|aut|
dc.neeo.contributor Hanly|Jim|aut|
dc.description.admin Forthcoming 2012. On publication, add link to published version. AV 10/01/2012 ti, ke - kpw13/1/12 en

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