Data/hora: 11/06/2024 08:47:22

Provedor de dados: | 31
País: | United States
Título: | Generalized Hedge Ratio Estimation with an Unknown Model
Autores: | Dorfman,   Jeffrey H.; Sanders,   Dwight R.
Data: | 2005-04-27
Ano: | 2005
Palavras-chave: | Marketing.
Resumo: | Myers and Thompson (1989) noted that the model specification could have a large impact on the hedge ratio estimated. A huge literature exists on estimating hedge ratios, but the literature is lacking a formal treatment of model specification uncertainty. This research accomplishes that task by taking a Bayesian approach to hedge ratio estimation, where specification uncertainty is explicitly modeled.  The methodology is applied to data on hedging of corn and soybeans and on cross-hedging of corn oil using soybean oil futures.  Results show the potential benefits and insights gained from such an approach.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês

Identificador:

16039

http://purl.umn.edu/19268

Editor: | AgEcon Search

Relação:

American Agricultural Economics Association&gt;2005 Annual meeting, July 24-27, Providence, RI

Selected Paper 136464

Formato:

34

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