Comparing Hedging Effectiveness: An Application of the Encompassing Principle
An empirical methodology is developed for statistically testing the hedging effectiveness among competing futures contracts. The presented methodology is based on the encompassing principle, widely used in the forecasting literature, and applied here to minimum variance hedging regressions. Intuitiv...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Western Agricultural Economics Association
2004-04-01
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| Series: | Journal of Agricultural and Resource Economics |
| Subjects: | |
| Online Access: | https://ageconsearch.umn.edu/record/31136 |