In this article, it is shown that although minimum‐variance hedging unambiguously reduces the standard deviation of portfolio returns, it can increase both left skewness and kurtosis; consequently the effectiveness of hedging in terms of value at risk (VaR) and conditional value at risk (CVaR)...

When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean‐variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge...

In this paper, we compare the estimated minimum-variance hedge ratios from a range of conditional hedging models with the 'realized' minimum variance hedge ratio constructed using intraday data. We show that the reduction in conditionally hedged portfolio variance falls far short of the "ex...

The non‐normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum‐variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns....

Two linear methods, including the simple linear addition and linear addition by expansion, and numerical simulations were employed to estimate storm surges and associated flooding caused by Hurricane Andrew for scenarios of sea level rise (SLR) from 0.15 m to 1.05 m with an interval of...

Using ordered probit estimation technique this paper examines the job satisfaction of recent UK graduates. Focussing primarily on explaining job satisfaction in terms of individuals matching to jobs, with the match depending on reservation returns, information sets and job offer rates. Only...

The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S‐GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of series....

Volatility models such as GARCH, although misspecified with respect to the data-generating process, may well generate volatility forecasts that are unconditionally unbiased. In other words, they generate variance forecasts that, on average, are equal to the integrated variance. However, many...