contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

use portfolio variance reduction as the measure of hedging effectiveness. We find that timevarying hedge ratios outperform … Pricing ; Hedging ; M-GARCH ; Hedging effectiveness …

contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed …

We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new … value of indexlinked credit derivatives is very limited: hedging portfolios including only T-bond futures can reduce the … hedging. This is consistent with the literature identifying an important non-default component within corporate bond spreads …

-of-sample hedging errors than competing models. This comparison includes versions of Markov Tree and Black-Scholes models in which … indicates that the Markov Tree model's superior hedging performance is due to its robustness with respect to noise in option …

and Scholes (1973) model. These pricing performance differences do not translate into static and dynamic hedging …

article shows that out-of-sample hedging performance is not significantly improved by updating the hedge ratios …