The Hedging Efficiency of Crude Oil Markets
Published: 1st February 1995 | By: Paul Horsnell, W. Greaves, A. Brindle
The focus of this paper is on the measurement of hedging efficiency. We argue that conventional approaches, originally developed for analysing the hedgmg of Treasury bonds, are unreliable in commodities where the time structure of prices plays an important role. A full consideration of the nature and causes of changes in the time structure is necessary to develop an effective hedging strategy.
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