Corporate hedging for different production cycles with the wavelet-approach
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
Standard
in: International Journal of Portfolio Analysis and Management, Jahrgang 2, Nr. 1, 2015, S. 1-35.
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
Harvard
APA
Vancouver
Bibtex
}
RIS
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
IS - 1
ER -