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- W2034709795 abstract "Most hedges placed in futures markets must be lifted before contract expiration, which necessitates incurring “basis risk.” The focus of this paper is on quantifying such risk as a function of the timing of a hedge, its duration, distance from contract expiration, hedge life, and other market-observable variables. The development of basis-risk profiles provides a hedger with estimates of hedging risks that reasonably can be expected before the actual placement of hedges, thus serving as a useful input in the hedging decision." @default.
- W2034709795 created "2016-06-24" @default.
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- W2034709795 date "1989-06-01" @default.
- W2034709795 modified "2023-09-27" @default.
- W2034709795 title "BASIS VOLATILITY: IMPLICATIONS FOR HEDGING" @default.
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- W2034709795 doi "https://doi.org/10.1111/j.1475-6803.1989.tb00110.x" @default.
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