This article investigates out-of-sample performance of the naïve hedging strategy relative to that of the minimum variance hedging strategy, in which the covariance parameters are estimated from eighteen econometric models. Hedging performance is compared across twenty-four futures markets. Our...

Several unique insights are documented based on a study of copper futures contracts traded in the U.S. and China. Based on our unique measures, we present evidence that the U.S. gold and silver futures markets reflect a fully arbitraged market and U.S. copper nearly so. In contrast, the Chinese...