Book Chapter


Jim Hanly
John Cotter



asymmetry risk econometric models g15 g10 g12 conditional value at risk lower partial moments hedging performance futures hedging finance value at risk

Re-evaluating hedging performance for asymmetry : the case of crude oil (2012)

Abstract We examine whether the hedging effectiveness of crude oil futures is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of both short and long hedgers. The hedging effectiveness metrics we use are based on Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVaR). Comparisons are applied to a number of hedging strategies including OLS, and both Symmetric and Asymmetric GARCH models. We find that OLS provides consistently better performance across different measures of hedging effectiveness as compared with GARCH models, irrespective of the characteristics of the underlying distribution.
Collections Ireland -> University College Dublin -> Business Research Collection
Ireland -> University College Dublin -> Institutes and Centres
Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Financial Mathematics Computation Cluster
Ireland -> University College Dublin -> FMC² Research Collection
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

Jim Hanly, John Cotter

Experts in our system

Jim Hanly
University College Dublin
Total Publications: 16
John Cotter
University College Dublin
Total Publications: 93