| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Generalized Hedge Ratio Estimation with an Unknown Model
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| Autores: |
Dorfman, Jeffrey H.
Sanders, Dwight R.
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| Data: |
2005-04-27
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| Ano: |
2005
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| Palavras-chave: |
Marketing
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| 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.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
16039
http://purl.umn.edu/19268
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| Editor: |
AgEcon Search
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| Relação: |
American Agricultural Economics Association>2005 Annual meeting, July 24-27, Providence, RI
Selected Paper 136464
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| Formato: |
34
application/pdf
|
