Local Polynomial Kernel Forecasts and Management of Price Risks using Futures Markets

This study contributes to understanding price risk management through hedging strategies in a forecasting context. A relatively new forecasting method, nonparametric local polynomial kernel (LPK), is used and applied to the hog sector. The selective multiproduct hedge based on the LPK price and hedge ratio forecasts is, in general, found to be better than continuous hedge and alternative forecasting procedures in terms of reduction of variance of unhedged return. The findings indicate that combining hedging with forecasts, especially when using the LPK technique, can potentially improve price risk management.


Subject(s):
Issue Date:
2001
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/18966
Total Pages:
14
Series Statement:
2001 Conference, St. Louis, MO, April 23-24, 2001




 Record created 2017-04-01, last modified 2017-08-24

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