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IIMB Management Review, 2020 This paper analyses the performance of commodity cross-hedging of aviation turbine fuel (ATF) price exposures with crude oil and Brent oil futures for the Indian aviation industry. Models that were estimated using three alternative techniques of OLS, ECM,
Sujata Kar, Pulkit Khandelwal
exaly +3 more sources
Composite jet fuel cross-hedging
Journal of Commodity Markets, 2022 Cao Min, Thomas Conlon
semanticscholar +3 more sources
Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index
Mathematics, 2021 We consider alternative possibilities for hedging spot positions on the FTSE LATIBEX Index, the index of the only international market exclusively for Latin American firms that is denominated by the euro. Since there is not a futures market on the index,
Pablo Urtubia +2 more
doaj +2 more sources
Cross hedging with stock index futures [PDF]
The Quarterly Review of Economics and Finance, 2021 This paper examines the cross hedging effectiveness between UK FTSE100 and world stock index futures from developed and emerging markets: the US, Australia, Brazil, Japan, Hong Kong, Korea and Malaysia.
A. Zainudin, Azhar Mohamad
semanticscholar +2 more sources
CROSS HEDGING WINTER CANOLA [PDF]
Journal of Agricultural and Applied Economics, 2015 The growth in winter canola acreage in the southern Great Plains has led to questions about the best way to reduce price risk because there is no U.S. canola futures market.
Seon-woong Kim +2 more
semanticscholar +2 more sources
Cross Currency Valuation and Hedging in the Multiple Curve Framework [PDF]
SIAM Journal on Financial Mathematics, 2020 We generalize the results of Bielecki and Rutkowski (2015) on funding and collateraliza- tion to a multi-currency framework and link their results with those of Piterbarg (2012), Moreni and Pallavicini (2017), and Fujii et al. (2010b).
Alessandro Gnoatto, Nicole Seiffert
openalex +2 more sources
Cross hedging with stochastic correlation [PDF]
Finance and Stochastics, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
S. Ankirchner, Gregor Heyne
semanticscholar +2 more sources
Cross-Hedging Ambiguous Exchange Rate Risk [PDF]
Journal of Futures Markets, 2017 AbstractThis paper examines the behavior of an exporting firm that sells its output to two foreign countries, only one of which has futures and options available for its currency. The firm possesses smooth ambiguity preferences and faces multiple sources of ambiguous exchange rate risk. We show that the separation theorem fails to hold in that the firm'
K. Wong
semanticscholar +4 more sources
Cross-hedging wild salmon prices
Journal of Commodity Markets, 2023 Rune Nygaard, K. H. Roll
semanticscholar +2 more sources
Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk
International Journal of Financial Studies, 2018 This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A
Hsiang-Tai Lee
exaly +2 more sources