Corporate hedging for different production cycles with the wavelet-approach
Research output: Journal contributions › Journal articles › Research › peer-review
Authors
We suggest the use of the wavelet-approach to determine optimal
hedge ratios in order to adjust risk management positions to planning horizons.
The wavelet-approach permits resolution of the signal in terms of the time scale
of analysis. We analyse the wavelet correlations between several time series
and find significant differences in short-term and long-term correlations
between exchange rates and ‘background risks’. At the same time, we do not
find such a difference between spot and future rates for most exchange rates.
hedge ratios in order to adjust risk management positions to planning horizons.
The wavelet-approach permits resolution of the signal in terms of the time scale
of analysis. We analyse the wavelet correlations between several time series
and find significant differences in short-term and long-term correlations
between exchange rates and ‘background risks’. At the same time, we do not
find such a difference between spot and future rates for most exchange rates.
| Original language | English |
|---|---|
| Journal | International Journal of Portfolio Analysis and Management |
| Volume | 2 |
| Issue number | 1 |
| Pages (from-to) | 1-35 |
| Number of pages | 35 |
| DOIs | |
| Publication status | Published - 2015 |
- Management studies