Corporate hedging for different production cycles with the wavelet-approach
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Corporate hedging for different production cycles with the wavelet-approach. / Pelster, Matthias; Springer, Tobias.
in: International Journal of Portfolio Analysis and Management, Jahrgang 2, Nr. 1, 2015, S. 1-35.Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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TY - JOUR
T1 - Corporate hedging for different production cycles with the wavelet-approach
AU - Pelster, Matthias
AU - Springer, Tobias
PY - 2015
Y1 - 2015
N2 - We suggest the use of the wavelet-approach to determine optimalhedge ratios in order to adjust risk management positions to planning horizons.The wavelet-approach permits resolution of the signal in terms of the time scaleof analysis. We analyse the wavelet correlations between several time seriesand find significant differences in short-term and long-term correlationsbetween exchange rates and ‘background risks’. At the same time, we do notfind such a difference between spot and future rates for most exchange rates.
AB - We suggest the use of the wavelet-approach to determine optimalhedge ratios in order to adjust risk management positions to planning horizons.The wavelet-approach permits resolution of the signal in terms of the time scaleof analysis. We analyse the wavelet correlations between several time seriesand find significant differences in short-term and long-term correlationsbetween exchange rates and ‘background risks’. At the same time, we do notfind such a difference between spot and future rates for most exchange rates.
KW - Management studies
U2 - 10.1504/IJPAM.2015.077109
DO - 10.1504/IJPAM.2015.077109
M3 - Journal articles
VL - 2
SP - 1
EP - 35
JO - International Journal of Portfolio Analysis and Management
JF - International Journal of Portfolio Analysis and Management
SN - 2048-2361
IS - 1
ER -