Futures Hedge Profit Measurement, Error-Correction Model vs Regression Approach Hedge Ratios, and Data Error Effects This study explains why a modified regression method, which calculates hedge profits and hedge ratios using cost-of-carry-adjusted price changes, provides greater accuracy that the unadjusted regression method. It shows that the modified regression method and the error-correction ...
| Year of publication: |
1999
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| Authors: | Ferguson, Robert ; Leistikow, Dean |
| Published in: |
Financial management. - Malden, Mass. [u.a.] : Wiley-Blackwell, ISSN 0046-3892, ZDB-ID 1860343. - Vol. 28.1999, 4, p. 118-125
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