HedgeRatio: Kroner and Sultan (1993) hedge ratios

In ConnectednessApproach: Connectedness Approach

Kroner and Sultan (1993) hedge ratios

Description

This function calculates the hedge ratios of Kroner and Sultan (1993)

Usage

HedgeRatio(
  x,
  H,
  method = c("cumsum", "cumprod"),
  statistics = c("Fisher", "Bartlett", "Fligner-Killeen", "Levene", "Brown-Forsythe"),
  digit = 2
)

Arguments

x	zoo return matrix (in percentage)
H	Residual variance-covariance, correlation or pairwise connectedness matrix
method	Cumulative sum or cumulative product
statistics	Hedging effectiveness statistic
digit	Number of decimal places

Value

Get hedge ratios

Author(s)

David Gabauer

References

Kroner, K. F., & Sultan, J. (1993). Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis, 28(4), 535-551.

Ederington, L. H. (1979). The hedging performance of the new futures markets. The Journal of Finance, 34(1), 157-170.

Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & de Gracia, F. P. (2020). Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. Energy Economics, 91, 104762.

Examples

data("g2020")
fit = VAR(g2020, configuration=list(nlag=1))
hr = HedgeRatio(g2020, fit$Q)
hr$TABLE

ConnectednessApproach documentation built on Aug. 31, 2022, 5:05 p.m.