Tejeda, Hernan A.; Goodwin, Barry K. - In: Applied Economics 46 (2014) 27, pp. 3312-3322
Optimal multiproduct time-varying hedge ratios are determined - for a soybean complex - and their risk-mitigating impact is contrasted over single-commodity time-varying and naive hedge ratios. A parsimonious regime-switching dynamic correlation model is employed, with the estimated dynamic...