Lien, Donald; Shrestha, Keshab - In: Journal of Futures Markets 25 (2005) 10, pp. 1011-1024
In recent years, the error‐correction model without lags has been used in estimating the minimum‐variance hedge ratio. This article proposes the use of the same error‐correction model, but with lags in spot and futures returns in estimating the hedge ratio. In choosing the lag structure,...