{"id":"https://openalex.org/W2122432142","doi":"https://doi.org/10.1080/13504850500365848","title":"Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach","display_name":"Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach","publication_year":2006,"publication_date":"2006-04-15","ids":{"openalex":"https://openalex.org/W2122432142","doi":"https://doi.org/10.1080/13504850500365848","mag":"2122432142"},"language":"en","primary_location":{"id":"doi:10.1080/13504850500365848","doi":"https://doi.org/10.1080/13504850500365848","is_oa":false,"landing_page_url":"https://doi.org/10.1080/13504850500365848","pdf_url":null,"source":{"id":"https://openalex.org/S96544531","display_name":"Applied Economics Letters","issn_l":"1350-4851","issn":["1350-4851","1466-4291"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics Letters","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5050372054","display_name":"Abdulnasser Hatemi\u2010J","orcid":"https://orcid.org/0000-0002-6212-1292","observed_orcids":["https://orcid.org/0000-0002-6212-1292"]},"institutions":[{"id":"https://openalex.org/I11701301","display_name":"Griffith University","ror":"https://ror.org/02sc3r913","country_code":"AU","type":"education","lineage":["https://openalex.org/I11701301"]},{"id":"https://openalex.org/I205158640","display_name":"University of Sk\u00f6vde","ror":"https://ror.org/051mrsz47","country_code":"SE","type":"education","lineage":["https://openalex.org/I205158640"]}],"countries":["AU","SE"],"is_corresponding":false,"raw_author_name":"Abdulnasser Hatemi-J","raw_affiliation_strings":["Department of Economics and Political Sciences, University of Skovde, PO Box 408, 521 28 Skovde, Sweden ; Department of Accounting, Finance and Economics, and Centre for Corporate Governance and Firm Performance, Griffith University, Nathan, Queensland 4111, Australia","Department of Accounting, Finance and Economics, and Centre for Corporate Governance and Firm Performance , Griffith University , Nathan, Queensland 4111, Australia","Department of Economics and Political Sciences , University of Skovde , PO Box 408, 521 28 Skovde, Sweden"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Political Sciences, University of Skovde, PO Box 408, 521 28 Skovde, Sweden ; Department of Accounting, Finance and Economics, and Centre for Corporate Governance and Firm Performance, Griffith University, Nathan, Queensland 4111, Australia","institution_ids":["https://openalex.org/I11701301","https://openalex.org/I205158640"]},{"raw_affiliation_string":"Department of Accounting, Finance and Economics, and Centre for Corporate Governance and Firm Performance , Griffith University , Nathan, Queensland 4111, Australia","institution_ids":["https://openalex.org/I11701301"]},{"raw_affiliation_string":"Department of Economics and Political Sciences , University of Skovde , PO Box 408, 521 28 Skovde, Sweden","institution_ids":["https://openalex.org/I205158640"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013472934","display_name":"Eduardo Roca","orcid":"https://orcid.org/0000-0002-1542-8208","observed_orcids":["https://orcid.org/0000-0002-1542-8208"]},"institutions":[{"id":"https://openalex.org/I11701301","display_name":"Griffith University","ror":"https://ror.org/02sc3r913","country_code":"AU","type":"education","lineage":["https://openalex.org/I11701301"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Eduardo Roca","raw_affiliation_strings":["Department of Accounting, Finance and Economics, and Centre for Corporate Governance and Firm Performance, Griffith University, Nathan, Queensland 4111, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Accounting, Finance and Economics, and Centre for Corporate Governance and Firm Performance, Griffith University, Nathan, Queensland 4111, Australia","institution_ids":["https://openalex.org/I11701301"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5013472934"],"corresponding_institution_ids":["https://openalex.org/I11701301"],"apc_list":null,"apc_paid":null,"fwci":1.6955,"has_fulltext":false,"cited_by_count":33,"citation_normalized_percentile":{"value":0.89174139,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"13","issue":"5","first_page":"293","last_page":"299"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7890999913215637,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7890999913215637,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.1339000016450882,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.024399999529123306,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/optimal-hedge-ratio","display_name":"optimal hedge ratio","score":1.0},{"id":"https://openalex.org/keywords/time-varying-hedge-ratios","display_name":"time-varying hedge ratios","score":0.949999988079071},{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.9490000009536743},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.8199999928474426},{"id":"https://openalex.org/keywords/spot-and-futures-prices","display_name":"spot and futures prices","score":0.6230000257492065},{"id":"https://openalex.org/keywords/time-varying-coefficient-models","display_name":"time-varying parameter models","score":0.8989999890327454},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.5490000247955322}],"concepts":[{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.7403879761695862},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.7166231274604797},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.6593031883239746},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6468284726142883},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.428457111120224},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4018372595310211},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3774434030056},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2751845121383667},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/13504850500365848","doi":"https://doi.org/10.1080/13504850500365848","is_oa":false,"landing_page_url":"https://doi.org/10.1080/13504850500365848","pdf_url":null,"source":{"id":"https://openalex.org/S96544531","display_name":"Applied Economics Letters","issn_l":"1350-4851","issn":["1350-4851","1466-4291"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","jufo-1","norway-1","poland-40","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics Letters","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:apeclt:v:13:y:2006:i:5:p:293-299","doi":null,"is_oa":false,"landing_page_url":"http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850500365848&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:research-repository.griffith.edu.au:10072/11282","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10072/11282","pdf_url":null,"source":{"id":"https://openalex.org/S7407064376","display_name":"Griffith Research Online","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.5600000023841858,"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":32,"referenced_works":["https://openalex.org/W18418368","https://openalex.org/W280575915","https://openalex.org/W1586358094","https://openalex.org/W1747163001","https://openalex.org/W1970701971","https://openalex.org/W1975163127","https://openalex.org/W1979376891","https://openalex.org/W1981966933","https://openalex.org/W2004214876","https://openalex.org/W2004313052","https://openalex.org/W2008949101","https://openalex.org/W2010489874","https://openalex.org/W2014087889","https://openalex.org/W2021153712","https://openalex.org/W2028287887","https://openalex.org/W2037452728","https://openalex.org/W2038199612","https://openalex.org/W2040073185","https://openalex.org/W2053928465","https://openalex.org/W2057053231","https://openalex.org/W2058562590","https://openalex.org/W2063389444","https://openalex.org/W2070720254","https://openalex.org/W2081258414","https://openalex.org/W2091636999","https://openalex.org/W2098027073","https://openalex.org/W2116388354","https://openalex.org/W2123244457","https://openalex.org/W2129163836","https://openalex.org/W2164982958","https://openalex.org/W2797652052","https://openalex.org/W4307492541"],"related_works":["https://openalex.org/W7100385999","https://openalex.org/W2358036734","https://openalex.org/W3023332866","https://openalex.org/W2348935738","https://openalex.org/W2400463655","https://openalex.org/W2165610824","https://openalex.org/W4384009596","https://openalex.org/W2302350049","https://openalex.org/W3125185095","https://openalex.org/W2591760548"],"abstract_inverted_index":{"A":[0],"crucial":[1],"input":[2],"in":[3],"the":[4,9,16,19,22,28,37,61,81,84],"hedging":[5,29],"of":[6,21,27,83],"risk":[7],"is":[8,70,98],"optimal":[10,62],"hedge":[11,63,92],"ratio":[12,93],"\u2013":[13,94],"defined":[14],"by":[15,49],"relationship":[17,39],"between":[18,40],"price":[20],"spot":[23],"instrument":[24],"and":[25,79,102],"that":[26,36,69,97],"instrument.":[30],"Since":[31],"it":[32],"has":[33],"been":[34],"shown":[35],"expected":[38],"economic":[41],"or":[42],"financial":[43],"variables":[44],"may":[45],"be":[46,67],"better":[47,104],"captured":[48],"a":[50,57,95],"time":[51,71,90],"varying":[52,72,91],"parameter":[53],"model":[54],"rather":[55,73],"than":[56,74],"fixed":[58],"coefficient":[59],"model,":[60],"ratio,":[64],"therefore,":[65],"can":[66],"one":[68],"constant.":[75],"This":[76],"study":[77],"suggests":[78],"demonstrates":[80],"use":[82],"Kalman":[85],"Filter":[86],"approach":[87],"for":[88],"estimating":[89],"procedure":[96],"statistically":[99],"more":[100],"efficient":[101],"with":[103],"forecasting":[105],"properties.":[106]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}
