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, Vol. 2, No. 1, 2015, p. 1-35.

Research output: Journal contributionsJournal articlesResearchpeer-review

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@article{23fc6a1607b24799b3eaba0922f96ffd,
title = "Corporate hedging for different production cycles with the wavelet-approach",
abstract = "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 {\textquoteleft}background risks{\textquoteright}. At the same time, we do notfind such a difference between spot and future rates for most exchange rates. ",
keywords = "Management studies",
author = "Matthias Pelster and Tobias Springer",
year = "2015",
doi = "10.1504/IJPAM.2015.077109",
language = "English",
volume = "2",
pages = "1--35",
journal = "International Journal of Portfolio Analysis and Management",
publisher = "Inderscience Publishers",
number = "1",

}

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 -