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 ...