Hedging Effectiveness Under Conditions of Asymmetry

@article{Cotter2006HedgingEU,
  title={Hedging Effectiveness Under Conditions of Asymmetry},
  author={John Cotter and J. A. Hanly},
  journal={European Finance},
  year={2006}
}
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a number of hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our findings show that asymmetry reduces… 
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