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Applied Financial Economics Volume 20, 2010 - Issue 8
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Original Articles

Estimating optimal hedge ratio: a multivariate skew-normal distribution approach

Donald Lien Department of Finance, University of Texas – San Antonio, One UTSA Circle, San Antonio, TX 78249, USACorrespondence[email protected]
&
Keshab Shrestha Nanyang Business School, Nanyang Technological University, Nanyang Avenue, Singapore 639778
Pages 627-636 | Published online: 08 Apr 2010

Citations (15)

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Read on this site (3)

Nuri Çelik & Birdal Şenoğlu. (2018) Robust estimation and testing in one-way ANOVA for Type II censored samples: skew normal error terms. Journal of Statistical Computation and Simulation 88:7, pages 1382-1393.
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Christopher Adcock, Martin Eling & Nicola Loperfido. (2015) Skewed distributions in finance and actuarial science: a review. The European Journal of Finance 21:13-14, pages 1253-1281.
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Wei-Han Liu. (2014) Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions. Applied Economics 46:12, pages 1420-1435.
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Articles from other publishers (12)

John Lee, Jow-Ran Chang, Lie-Jane Kao & Cheng-Few LeeJohn Lee, Jow-Ran Chang, Lie-Jane Kao & Cheng-Few Lee. 2023. Essentials of Excel VBA, Python, and R. Essentials of Excel VBA, Python, and R 459 489 .
Sheng-Syan Chen, Cheng-Few Lee, Fu-Lai Lin & Keshab Shrestha. 2022. Encyclopedia of Finance. Encyclopedia of Finance 1703 1726 .
Sheng-Syan Chen, Cheng-Few Lee, Fu-Lai Lin & Keshab Shrestha. 2021. Encyclopedia of Finance. Encyclopedia of Finance 1 25 .
Yang (Greg) Hou & Mark Holmes. (2019) Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures. Australian Journal of Management 45:2, pages 240-265.
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Cheng-Few Lee, Hong-Yi Chen & John LeeCheng-Few Lee, Hong-Yi Chen & John Lee. 2019. Financial Econometrics, Mathematics and Statistics. Financial Econometrics, Mathematics and Statistics 317 354 .
Massimiliano Barbi & Silvia Romagnoli. (2018) Skewness, basis risk, and optimal futures demand. International Review of Economics & Finance 58, pages 14-29.
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Cheng-Few Lee, John Lee, Jow-Ran Chang & Tzu TaiCheng-Few Lee, John Lee, Jow-Ran Chang & Tzu Tai. 2016. Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses. Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses 993 1029 .
Rong-Yuan Qin & Byung-Jin Yim. (2015) An Empirical Study on the Hedging Performance of the CSI 300 Stock Index and the CSI 300 Stock Index Futures. The Journal of International Trade & Commerce 11:3, pages 59-76.
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Sheng-Syan Chen, Cheng-Few Lee & Keshab Shrestha. 2013. Encyclopedia of Finance. Encyclopedia of Finance 871 890 .
DONALD LIEN & KESHAB SHRESTHA. (2013) THE EFFECTS OF PRICE DYNAMICS ON OPTIMAL FUTURES HEDGING. Annals of Financial Economics 07:02, pages 1250008.
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Stavros DegiannakisChristos Floros. (2010) Hedge Ratios in South African Stock Index Futures. Journal of Emerging Market Finance 9:3, pages 285-304.
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Massimiliano Barbi & Silvia Romagnoli. (2016) Skewness, Basis Risk, and Optimal Futures Demand. SSRN Electronic Journal.
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