Generalized Optimal Hedge Ratio Estimation
提出一种广义方法估计期货最优对冲比率，用于评估传统简单回归法的适用性。以玉米、大豆、小麦的仓储对冲为例，发现使用价格水平或收益率的简单回归会导致估计误差，而使用价格变化的简单回归则较为准确。
Abstract A generalized approach to estimating optimal hedge ratios on futures markets is developed. The generalized approach is not difficult to apply and provides a framework for evaluating the appropriateness of conventional simple regression approaches to optimal hedge ratio estimation. In an application to storage hedging of corn, soybeans, and wheat, it is found that simple regression using price levels or returns leads to errors in optimal hedge ratio estimation but that simple regression using price changes provides reasonably accurate estimates.