2026-09-22T03:15:41Z https://www.ideals.illinois.edu/oai-pmh

oai:www.ideals.illinois.edu:2142/113050 2023-07-11 col_2142_5131 col_2142_13851 com_2142_5130 com_2142_684 com_2142_397

Robe, Michel A Muellner, Anthony Thomas 2022-01-12T21:46:47Z 2022-01-12T21:46:47Z 2021-07-20 2021-08 This thesis investigates the out-of-sample performance of minimum-variance and unconditional hedging strategies in the corn futures market from 2002 to 2019. The out-of-sample performance is captured by new measures of hedging effectiveness that are fundamentally tied to basis and net price. The findings include that optimal hedge ratios based on price changes, and the naïve hedge ratio, statistically significantly outperform all the other strategies considered. The point estimates are robust to different choices for the hedge set dates and lift dates, and regression results are robust to differing hedging horizons. Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-01-12 without embargo terms The student, Anthony Muellner, accepted the attached license on 2021-07-14 at 22:49. The student, Anthony Muellner, submitted this Thesis for approval on 2021-07-14 at 23:11. This Thesis was approved for publication on 2021-07-20 at 08:04. DSpace SAF Submission Ingestion Package generated from Vireo submission #16948 on 2022-01-12 at 12:45:43 Made available in DSpace on 2022-01-12T21:46:47Z (GMT). No. of bitstreams: 2 MUELLNER-THESIS-2021.pdf: 6410804 bytes, checksum: 8d1cf6ffbb514d79fab4b776b6d7f9ad (MD5) LICENSE.txt: 4213 bytes, checksum: 504f537d9164174cd23d42b55d33e065 (MD5) Previous issue date: 2021-07-20 application/pdf http://hdl.handle.net/2142/113050 en Copyright 2021 Anthony Muellner Commodity hedging strategies futures out of sample optimal hedging ratio Assessing out-of-sample hedging performance with commodity futures text Thesis Agr & Consumer Economics Agricultural & Applied Econ University of Illinois at Urbana-Champaign Thesis M.S.