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Leuthold, Raymond M. Kim, Min-Kyoung 2015-09-25T20:55:24Z 2015-09-25T20:55:24Z 10000-01-01 2000 2000 Multiproduct hedge ratios generated by locally polynomial kernel are recommended to use when the futures market is utilized to manage price risks because they are found to take account of more information inflow on prices than GARCH-type models. Estimated hedge ratios using past information might not be relevant to hog producers to manage their price risks in reality. Thus, hedge ratios are one-step ahead forecasted, ex ante hedge ratios, and evaluated for an out-of-sample period. Multiproduct hedging using LPK is suggested for use when the futures market is needed to hedge price risks in a forthcoming period, which gives risk minimizing hedge ratios with higher mean return than other hedging strategies. In addition, this study evaluates the selective hedging using forecasted prices by LPK, which has smaller forecasting errors than the vector autoregression model, and found that the unhedged variance of return is substantially reduced by selective hedging, but not reduced as much as by full hedging strategies. Meanwhile, the return by selective hedging increases considerably relative to full hedging. Thus, the selective hedging is a good alternative to hog producers who do not want to sacrifice mean return as much as when full hedging is used, and want to retain a lower variance of return. Made available in DSpace on 2015-09-25T20:55:24Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 3017121.pdf: 7130537 bytes, checksum: 70c6b8f30742586c54eed557e9cf42e0 (MD5) Previous issue date: 2000 Embargo set by: Seth Robbins for item 84222 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 153 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2000. http://hdl.handle.net/2142/82941 (MiAaPQ)AAI3017121 eng Economics, Finance Multiproduct Nonconstant and Time -Varying Hedge Ratio Estimation by Locally Polynomial Kernel Applied to the Hog Complex text Agricultural Economics Agricultural Economics University of Illinois at Urbana-Champaign Dissertation Ph.D.