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- W2259646547 abstract "This study estimates and compares the hedge ratios of the conventional and the error correction models using Japan's Nikkei Stock Average (NSA) index and the NSA futures with different time intervals. Comparisons of out-of-sample hedging performance reveal that the error correction model outperforms the conventional model, suggesting that the hedge ratios obtained by using the error correction model do a better job in reducing the risk of the cash position than those from the conventional model. In addition, this paper evaluated the effects of temporal aggregation on hedge ratios. It is found that temporal aggregation has important effects on the hedge ratio estimates." @default.
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- W2259646547 date "1996-11-07" @default.
- W2259646547 modified "2023-09-23" @default.
- W2259646547 title "Hedging with the NIKKEI Index Futures: Conventional Model Versus Error Correction Model" @default.
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