@article{Bryant:28580,
      recid = {28580},
      author = {Bryant, Henry L. and Haigh, Michael S.},
      title = {COMPARING THE PERFORMANCES OF THE PARTIAL EQUILIBRIUM AND  TIME-SERIES APPROACHES TO HEDGING},
      address = {2003},
      number = {1667-2016-136379},
      series = {Working Paper  WP 03-08},
      pages = {44},
      year = {2003},
      abstract = {This research compares partial equilibrium and statistical  time-series approaches to hedging.  The finance literature  stresses the former approach, while the applied economics  literature has focused on the latter.  We compare the  out-of-sample hedging effectiveness of the two approaches  when hedging commodity price risk using futures contracts.   For various methods of parameter estimation and inference,  we find that the partial equilibrium models cannot  out-perform a vector error-correction model with a GARCH  error structure.  The partial equilibrium models'  unpalatable assumption of deterministically evolving  futures volatility seems to impede their hedging  effectiveness, even when potentially foresighted  option-implied volatility term structures are employed.},
      url = {http://ageconsearch.umn.edu/record/28580},
      doi = {https://doi.org/10.22004/ag.econ.28580},
}