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auspicious
2005 Aug 12
1
help on cross hedge optimal hedge variance ratio
...06 4.487 0.000
D1 * X -0.100 0.017 -5.820 0.000
It is understood the slope co-efficients for different periods are
significant as indicated by t-table value. But I feel suspicious on
the reliability of this values.
I have used 5 years of daily price data for running the regression,
and I feel suscpicious becasue, the monthly correlations (pearson
correlation co-efficient) are highly varying between spot and futures
and some times even negative.
Can someone suggest me
a) the tests to judge the reliability of hedge-variance values
b) Is there any other better method than described here for estimati...