Testing Futures Returns Predictability and Implications for Hedgers: A Discussion Note
(2007) 5th Corporate Finance Day — Location: Louvain-La-Neuve, Belgium
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- Authors
- Abstract
- (en) In this paper, we argue that typical hedgers do not struggle to exploit potential predictability to trade-off risk against return. Moreover, we advocate the use of Wang and Yang (2006)'s Single Index Prediction Model instead of the Average Derivative Estimation technique to face the ‘curse of high dimensionality'.
- Affiliations
Louvain School of Management Accounting & Finance
Citations
Petitjean, M. (2007). Testing Futures Returns Predictability and Implications for Hedgers: A Discussion Note. 5th Corporate Finance Day, Louvain-La-Neuve, Belgium. https://hdl.handle.net/2078.5/54845