We thank Henk Berkman, Audra Boone, Bob DeYoung, Jeff Mercer, Shane Moriarity, Panos Patatoukas, Peter Wells, Jide Wintoki, and seminar participants at the University of Kansas, University of Auckland, Massey University, the American Accounting Association Conference, the Financial Management Association Conference, and the Southern Finance Association Conference.
The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated
Article first published online: 16 SEP 2011
© 2011 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 32, Issue 9, pages 837–876, September 2012
How to Cite
Juhl, T., Kawaller, I. G. and Koch, P. D. (2012), The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated. J. Fut. Mark., 32: 837–876. doi: 10.1002/fut.20544
- Issue published online: 16 JUL 2012
- Article first published online: 16 SEP 2011
- Manuscript Accepted: 1 JUL 2011
- Manuscript Received: 3 FEB 2011
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