- Article
Estimation of Optimal Hedge Ratio: A Wild Bootstrap Approach
- Phong Minh Nguyen,
- Darren Henry,
- Jae H. Kim and
- Sisira Colombage
This paper proposes a new approach to estimating the minimum variance hedge ratio (MVHR) based on the wild bootstrap and evaluates the approach using a spectrum of conservative to aggressive alternative hedging strategies associated with the percenti...