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rupiah
2005 Aug 12
1
help on cross hedge optimal hedge variance ratio
Hi everyone
I am trying to estimate the optimal hedge variance ratio for cross
hedging two commodities. the price levels are used (compared to price
change and % price change) and used the OLS with dummy variable for
estimating the co-efficients. the equation looks like this
Y = B + B1*D1 + B2*X + B3*(X*D1)
Where Y = Daily Cash market price
D1 = Dummy variable taking value 1 for period Oct-Mar