Browse OFOR Working Paper Series by Author "Roh, Jae Sun"

  • Bera, Anil K.; Garcia, Philip; Roh, Jae Sun (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1997-12)
    This paper deals with the estimation of optimal hedge ratios. A number of recent papers have demonstrated that the ordinary least squares (OLS) method which gives constant hedge ratio is inappropriate and recommended the ...

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