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Please use this identifier to cite or link to this item:
http://krishi.icar.gov.in/jspui/handle/123456789/42765
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | R.K. Paul | en_US |
dc.contributor.author | S.P. Bhardwaj | en_US |
dc.date.accessioned | 2020-11-27T06:02:15Z | - |
dc.date.available | 2020-11-27T06:02:15Z | - |
dc.date.issued | 2016-03-01 | - |
dc.identifier.citation | Not Available | en_US |
dc.identifier.issn | Not Available | - |
dc.identifier.uri | http://krishi.icar.gov.in/jspui/handle/123456789/42765 | - |
dc.description | Not Available | en_US |
dc.description.abstract | The optimal hedge ratio (OHR) is basically based on the coefficient of the regression between the change in the spot prices and the change in price of the hedging instrument. The traditional constant hedge ratio based on the ordinary least square (OLS) technique has been avoided by the researchers being an inappropriate; it ignores the heteroscedasticity which often exists in price series. In other words, the hedge ratios will certainly vary over time as the conditional distribution between cash and futures prices changes. It has been recognized that time varying coefficient (TVC) model outperforms the static coefficient (SC). As an illustration, the future and spot price of Soybean have been considered for the contracts maturing in December, 2011; June, 2012; December, 2013; April, 2013. The hedge ratio has been estimated for all the contracts by using OLS method, GARCH-BEKK, GARCH-VECH and Kalman filter methodology. | en_US |
dc.description.sponsorship | Not Available | en_US |
dc.language.iso | English | en_US |
dc.publisher | Not Available | en_US |
dc.relation.ispartofseries | Not Available; | - |
dc.subject | Optimal hedge ratio | en_US |
dc.subject | Kalman filter | en_US |
dc.subject | Time varying coefficient models | en_US |
dc.title | Econometric modeling for optimal hedging in commodity futures: An empirical study of soybean trading | en_US |
dc.title.alternative | Not Available | en_US |
dc.type | Research Paper | en_US |
dc.publication.projectcode | Not Available | en_US |
dc.publication.journalname | Economic Affairs | en_US |
dc.publication.volumeno | 61(3) | en_US |
dc.publication.pagenumber | 447-453 | en_US |
dc.publication.divisionUnit | Not Available | en_US |
dc.publication.sourceUrl | 10.5958/0976-4666.2016.00056.5 | en_US |
dc.publication.authorAffiliation | ICAR::Indian Agricultural Statistics Research Institute | en_US |
dc.ICARdataUseLicence | http://krishi.icar.gov.in/PDF/ICAR_Data_Use_Licence.pdf | en_US |
dc.publication.naasrating | 5.08 | - |
Appears in Collections: | AEdu-IASRI-Publication |
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